The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete. |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P Monthly Portfolio Investments Report |
Confidential | ☐ |
Filer CIK | 0001296250 |
Filer CCC | ******** |
Filer Investment Company Type | |
Is this a LIVE or TEST Filing? | ☐ LIVE ☐ TEST |
Would you like a Return Copy? | ☐ |
Is this an electronic copy of an official filing submitted in paper format? | ☐ |
Name | |
Phone | |
E-Mail Address |
Notify via Filing Website only? | ☐ |
Notification E-mail Address | |
Series ID |
Class (Contract) ID |
a. Name of Registrant | PIMCO Income Strategy Fund II |
b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-21601 |
c. CIK number of Registrant | 0001296250 |
d. LEI of Registrant | RS8VXHJKKVE627NLC573 |
e. Address and telephone number of Registrant: |
i. Street Address 1 | 1633 Broadway |
ii. Street Address 2 | |
iii. City | New York |
iv. State, if applicable | |
v. Foreign country, if applicable | |
vi. Zip / Postal Code | 10019 |
vii. Telephone number | (844) 337-4626 |
a. Name of Series. | N/A |
b. EDGAR series identifier (if any). | |
c. LEI of Series. | N/A |
a. Date of fiscal year-end. | 2023-06-30 |
b. Date as of which information is reported. | 2023-03-31 |
a. Does the Fund anticipate that this will be its final filing on Form N PORT? | ☐ Yes ☒ No |
Report the following information for the Fund and its consolidated subsidiaries. |
a. Total assets, including assets attributable to miscellaneous securities reported in Part D. | 874189285.530000 |
b. Total liabilities. | 295877742.940000 |
c. Net assets. | 578311542.590000 |
a. Assets attributable to miscellaneous securities reported in Part D. | 0.000000 |
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities. | 0.000000 |
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)]. |
Amounts payable within one year. | |
Banks or other financial institutions for borrowings. | 102764078.070000 |
Controlled companies. | 0.000000 |
Other affiliates. | 0.000000 |
Others. | 0.000000 |
Amounts payable after one year. | |
Banks or other financial institutions for borrowings. | 0.000000 |
Controlled companies. | 0.000000 |
Other affiliates. | 0.000000 |
Others. | 0.000000 |
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis. |
(i) On a delayed delivery, when-issued, or other firm commitment basis: | 0.000000 |
(ii) On a standby commitment basis: | 0.000000 |
e. Liquidation preference of outstanding preferred stock issued by the Fund. | 87425000.000000 |
f. Cash and cash equivalents not reported in Parts C and D. | 23298758.030000 |
If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide: |
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years |
---|---|---|---|---|---|---|
#1 | United States Dollar | |||||
Interest Rate Risk (DV01) | ||||||
-1302.807197 | 58103.296452 | 147148.919442 | 99836.044726 | -119654.359583 | ||
Interest Rate Risk (DV100) | ||||||
-148586.413345 | 5738522.389556 | 14218991.385816 | 9514115.700366 | -10154698.499036 | ||
#2 | Australia Dollar | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 800.121726 | 238.997384 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 78985.458629 | 23593.057642 | 0.000000 | 0.000000 | ||
#3 | Canada Dollar | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 389.813343 | 75.635421 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 42177.949141 | 8183.780818 | 0.000000 | 0.000000 | ||
#4 | Switzerland Franc | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 497.389896 | 363.891330 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 50259.978144 | 36770.289196 | 0.000000 | 0.000000 | ||
#5 | Dominican Republic Peso | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 868.810414 | 722.083655 | 49.537419 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 85604.655694 | 70360.264288 | 4755.062240 | 0.000000 | ||
#6 | Euro Member Countries | |||||
Interest Rate Risk (DV01) | ||||||
656.656297 | 2223.470800 | -3980.756159 | 6756.802314 | 3464.301803 | ||
Interest Rate Risk (DV100) | ||||||
64960.710699 | 280153.042243 | -247178.481028 | 516839.569213 | 293446.096255 | ||
#7 | Argentina Peso | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 6.846096 | 1.930950 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
-1.814233 | 674.455191 | 190.230950 | 0.000000 | 0.000000 | ||
#8 | Mexico Peso | |||||
Interest Rate Risk (DV01) | ||||||
-0.089189 | -1.455447 | 0.000000 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
-8.869892 | -144.745706 | 0.000000 | 0.000000 | 0.000000 | ||
#9 | United Kingdom Pound | |||||
Interest Rate Risk (DV01) | ||||||
1.237686 | 62.631535 | -3020.160020 | -9773.652439 | -2499.897401 | ||
Interest Rate Risk (DV100) | ||||||
154.650560 | 6148.782188 | -286783.970764 | -918384.322806 | -215390.721004 | ||
#10 | Peru Sol | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 25.086310 | 2.633369 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 2484.972162 | 260.853428 | 0.000000 | 0.000000 |
c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Credit Spread Risk | 3 month | 1 year | 5 years | 10 years | 30 years |
---|---|---|---|---|---|
Investment grade | 1005.736500 | 34764.010700 | 72857.025600 | 82268.940200 | -120145.213000 |
Non-Investment grade | 58730.998200 | 37326.871400 | 74972.993600 | 18672.731900 | 2068.471700 |
For purposes of Item B.3., calculate value as the sum of the absolute values of: (i) the value of each debt security, (ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate; (iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and (iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii). Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity. |
a. For each borrower in any securities lending transaction, provide the following information: |
Borrower Information Record | Name of borrower | LEI (if any) of borrower | Aggregate value of all securities on loan to the borrower |
---|---|---|---|
— | — | — | — |
b. Did any securities lending counterparty provide any non-cash collateral? | ☐ Yes ☒ No |
a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable. |
Monthly Total Return Record | Monthly total returns of the Fund for each of the preceding three months | Class identification number(s) (if any) of the Class(es) for which returns are reported | ||
Month 1 | Month 2 | Month 3 | ||
#1 | 9.258065 | -0.454658 | -3.92343 |
b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
Asset category | Instrument type | Month 1 | Month 2 | Month 3 | |||
Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | ||
Commodity Contracts | — | — | — | — | — | — | |
Credit Contracts | 0.000000 | 556399.880000 | 64684.540000 | 225990.520000 | 808960.250000 | -1973505.550000 | |
Forward | — | — | — | — | — | — | |
Future | — | — | — | — | — | — | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | 0.000000 | 556399.880000 | 64684.540000 | 225990.520000 | 808960.250000 | -1973505.550000 | |
Warrant | — | — | — | — | — | — | |
Other | — | — | — | — | — | — | |
Equity Contracts | 0.000000 | 731961.540000 | 0.000000 | -2802078.110000 | 0.000000 | -1742165.280000 | |
Forward | — | — | — | — | — | — | |
Future | — | — | — | — | — | — | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | — | — | — | — | — | — | |
Warrant | 0.000000 | 731961.540000 | 0.000000 | -2802078.110000 | 0.000000 | -1742165.280000 | |
Other | — | — | — | — | — | — | |
Foreign Exchange Contracts | 644221.810000 | -94856.550000 | -19738.020000 | 3910641.410000 | 9615.910000 | -4265413.260000 | |
Forward | 644221.810000 | -94856.550000 | -19738.020000 | 3910641.410000 | 9615.910000 | -4265413.260000 | |
Future | — | — | — | — | — | — | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | — | — | — | — | — | — | |
Warrant | — | — | — | — | — | — | |
Other | — | — | — | — | — | — | |
Interest Rate Contracts | 0.000000 | 2679955.240000 | 0.000000 | -6505689.830000 | 0.000000 | 11185723.210000 | |
Forward | — | — | — | — | — | — | |
Future | — | — | — | — | — | — | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | 0.000000 | 2679955.240000 | 0.000000 | -6505689.830000 | 0.000000 | 11185723.210000 | |
Warrant | — | — | — | — | — | — | |
Other | — | — | — | — | — | — | |
Other Contracts | — | — | — | — | — | — |
c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
---|---|---|
Month 1 | 72084.200000 | 17079280.870000 |
Month 2 | -1439011.670000 | -5271447.360000 |
Month 3 | -468229.770000 | -20876233.170000 |
a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies. |
Month | Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) | Total net asset value of shares sold in connection with reinvestments of dividends and distributions | Total net asset value of shares redeemed or repurchased, including exchanges |
---|---|---|---|
Month 1 | 3248648.150000 | 620065.050000 | 0.000000 |
Month 2 | 4205923.240000 | 632372.860000 | 0.000000 |
Month 3 | 9679610.800000 | 638427.630000 | 0.000000 |
a. If applicable, provide the Fund's current Highly Liquid Investment Minimum. |
—
|
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period. |
—
|
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? | ☐ Yes ☐ No ☐ N/A |
For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: |
(1) Moderately Liquid Investments |
(2) Less Liquid Investments |
(3) Illiquid Investments |
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments. |
Classification |
—
|
If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information: |
a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value. |
—
|
b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period. |
—
|
For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day: |
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value. |
—
|
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide: | |
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio. |
—
|
ii. As applicable, the index identifier for the Fund’s Designated Index. |
—
|
iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio. |
—
|
c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period. |
—
|
For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Schedule of Portfolio Investments Record: 1 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS AUD 3.50000 06/17/15-10Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU00BFM9 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Australia Dollar
|
e. Value. (4) | -17087.710000 |
f. Exchange rate. | 1.496000 |
g. Percentage value compared to net assets of the Fund. | -0.0029548 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
AUSTRALIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | AUD-BBR-BBSW-Bloomberg 6M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 3.500000 |
Receipts: Base currency. |
Australia Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | AUD-BBR-BBSW-Bloomberg 6M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 6 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 6 |
Payments: Base currency |
Australia Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2025-06-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 200704.640000 |
ISO Currency Code. |
Australia Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Australia Dollar
|
iv. Notional amount. | 8100000.000000 |
ISO Currency Code. | AUD |
v. Unrealized appreciation or depreciation. (24) | -217792.350000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 2 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS EUR -0.15000 03/18/20-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ9VJ2ZM94X0 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1754788.260000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.3034330 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | Euribor 6 Month ACT/360 |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU00W8P4-Euribor 6 Month ACT/360 |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | Euribor 6 Month ACT/360 |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 6 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 6 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | -0.150000 |
Payments: Base currency |
Euro Member Countries
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2030-03-18 |
iii. Upfront payments or receipts | |
Upfront payments. | 151899.880000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 8300000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | 1602888.380000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 3 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS EUR 0.25000 09/21/22-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZC109X5Y4L2 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2306072.500000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.3987595 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | Euribor 6 Month ACT/360 |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU01CCZ0-Euribor 6 Month ACT/360 |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | Euribor 6 Month ACT/360 |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 6 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 6 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 0.250000 |
Payments: Base currency |
Euro Member Countries
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2032-09-21 |
iii. Upfront payments or receipts | |
Upfront payments. | 902411.000000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 9600000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | 1403661.500000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 4 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS EUR 0.83000 12/09/42-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZDX751HFTM2 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 792730.170000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.1370767 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | Euribor 6 Month ACT/360 |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU01NDJ1-Euribor 6 Month ACT/360 |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | Euribor 6 Month ACT/360 |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 6 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 6 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 0.830000 |
Payments: Base currency |
Euro Member Countries
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2052-12-09 |
iii. Upfront payments or receipts | |
Upfront payments. | 239602.640000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 18000000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | 553127.530000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 5 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS MXN 8.66000 04/07/22-2Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01HVZ8 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | 152.030000 |
f. Exchange rate. | 18.020000 |
g. Percentage value compared to net assets of the Fund. | 0.0000263 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | MEXICO INTERBANK TIIE 28 DAY |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | MEXICO INTERBANK TIIE 28 DAY |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 30 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 28 |
Receipts: Base currency. |
Mexico Peso
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 8.660000 |
Payments: Base currency |
Mexico Peso
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2024-04-04 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
Mexico Peso
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Mexico Peso
|
iv. Notional amount. | 100000.000000 |
ISO Currency Code. | MXN |
v. Unrealized appreciation or depreciation. (24) | 152.030000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 6 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS MXN 8.67500 04/06/22-2Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01HU22 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | 303.010000 |
f. Exchange rate. | 18.020000 |
g. Percentage value compared to net assets of the Fund. | 0.0000524 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | MEXICO INTERBANK TIIE 28 DAY |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | MEXICO INTERBANK TIIE 28 DAY |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 30 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 28 |
Receipts: Base currency. |
Mexico Peso
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 8.675000 |
Payments: Base currency |
Mexico Peso
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2024-04-03 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
Mexico Peso
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Mexico Peso
|
iv. Notional amount. | 200000.000000 |
ISO Currency Code. | MXN |
v. Unrealized appreciation or depreciation. (24) | 303.010000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 7 |
a. Name of issuer (if any). | BANC OF AMERICA FUNDING CORP 2006-J |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1 |
d. CUSIP (if any). | 05951EAM9 |
At least one of the following other identifiers: |
- ISIN | US05951EAM93 |
Balance. (2) |
a. Balance | 374577.880000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 337140.280000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0582973 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2047-01-20 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.41154 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 8 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 0.75000 06/16/21-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZZSH81H8DX1 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7406550.870000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2807199 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 0.750000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2031-06-16 |
iii. Upfront payments or receipts | |
Upfront payments. | 3140153.350000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 38000000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 4266397.520000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 9 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.16000 04/12/21-10Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU017NM8 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 472541.400000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0817105 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.160000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2031-04-12 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 2800000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 472541.400000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 10 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.25000 12/16/20-30Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZK5B26DXR10 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 890938.370000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1540585 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.250000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2050-12-16 |
iii. Upfront payments or receipts | |
Upfront payments. | 232957.460000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 2400000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 657980.910000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 11 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.35000 01/20/22-5Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01D3O3 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 754052.230000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1303886 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.350000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-01-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 8100000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 754052.230000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 12 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.36000 02/15/22-5Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01DMG9 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 495927.480000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0857544 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.360000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-02-15 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 5430000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 495927.480000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 13 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.38000 08/24/21-7Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01AF73 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3656624.580000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6322932 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.380000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2028-08-24 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 32500000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 3656624.580000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 14 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.42000 08/17/21-7Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01AAU7 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3269669.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5653821 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.420000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2028-08-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 29500000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 3269669.910000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 15 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.45000 02/17/22-5Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01DQ26 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 790762.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1367365 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.450000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-02-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 9000000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 790762.810000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 16 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.55000 10/20/21-5Y* CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01FLB6 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3067480.470000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.5304201 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.550000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-01-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -123872.970000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 35800000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -2943607.500000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 17 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.60000 11/15/21-5Y* CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01GBX7 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1789295.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3094000 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.600000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-02-15 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -74667.290000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 21700000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -1714628.510000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 18 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.70000 02/01/22-30Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU017R02 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 55944156.410000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 9.6737057 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.700000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2052-02-01 |
iii. Upfront payments or receipts | |
Upfront payments. | 1404795.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 187400000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 54539361.410000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 19 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.70000 11/17/21-5Y* CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01GEI7 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2814792.550000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.4867260 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.700000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-02-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -134638.630000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 35800000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -2680153.920000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 20 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.75000 01/22/20-30Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ7X43ZWMGT7 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5984672.890000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.0348527 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.750000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2050-01-22 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -48773.750000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 21100000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 6033446.640000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 21 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.75000 12/15/21-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ1DZ44CYCR0 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5153732.320000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8911688 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.750000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2031-12-15 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -643337.240000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 40600000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 5797069.560000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 22 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 1.87500 02/07/20-30Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZKDWJ9FPNM7 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5714419.150000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9881212 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 1.875000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2050-02-07 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -85217.810000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 22000000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 5799636.960000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 23 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 2.00000 01/15/20-30Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ9NHC7NH1P7 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 334076.440000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0577676 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 2.000000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2050-01-15 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -10079.180000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 1400000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 344155.620000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 24 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 2.25000 03/12/20-30Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZR35LVMCNY7 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1139694.780000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1970728 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Month |
Receipt: Floating Rate Reset Dates Unit. | 3 |
Receipts: Floating Rate Tenor. | Month |
Receipts: Floating Rate Tenor Unit. | 3 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 2.250000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2050-03-12 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -18081.180000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 6000000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 1157775.960000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 25 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 2.25000 06/15/16-10Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ2ZJC7XLG01 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1222570.970000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.2114035 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 2.250000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2026-06-15 |
iii. Upfront payments or receipts | |
Upfront payments. | 1267067.760000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 26800000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -2489638.730000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 26 |
a. Name of issuer (if any). | BANC OF AMERICA FUNDING CORP 2008-R3 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BANC OF AMERICA FUNDING CORPOR BAFC 2008 R3 3A3 144A |
d. CUSIP (if any). | 05954XAN2 |
At least one of the following other identifiers: |
- ISIN | US05954XAN21 |
Balance. (2) |
a. Balance | 2918409.750000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2477007.570000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4283172 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-01-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 27 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 2.50000 12/20/17-10Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZWM8GMR29P1 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2196484.470000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3798099 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 2.500000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 332701.510000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 48400000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -2529185.980000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 28 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 2.50000 12/20/17-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ2VT171RZC8 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -27140.400000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.0046930 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 2.500000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2027-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 10692.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 600000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -37832.400000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 29 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 2.75000 06/17/15-10Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU00B9H7 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3829414.060000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.6621715 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 2.750000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2025-06-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 9091555.040000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 149020000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -12920969.100000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 30 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 3.00000 06/19/19-10Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZL5BCZQ83H0 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1851976.620000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3202386 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 3.000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2029-06-19 |
iii. Upfront payments or receipts | |
Upfront payments. | 4674876.750000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 75000000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -6526853.370000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 31 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IRS USD 3.50000 06/19/13-31Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU006BN2 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4325423.740000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7479401 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
2. The reference instrument is an index or custom basket. (26) |
Index name. | USD-LIBOR-BBA-Bloomberg 3M |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 3.500000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | USD-LIBOR-BBA-Bloomberg 3M |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Month |
Payment: Floating Rate Reset Dates Unit. | 3 |
Payment: Floating Rate Tenor. | Month |
Payment: Floating Rate Tenor Unit. | 3 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2044-06-19 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -6573457.260000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 201500000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 10898881.000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 32 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875 |
d. CUSIP (if any). | ACI1T7K79 |
At least one of the following other identifiers: |
- ISIN | XS2270393379 |
Balance. (2) |
a. Balance | 2800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2612511.220000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.4517481 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-01-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.875 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 33 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625 |
d. CUSIP (if any). | ACI1J7WJ1 |
At least one of the following other identifiers: |
- ISIN | XS2110110686 |
Balance. (2) |
a. Balance | 6685000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 6627174.940000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 1.1459524 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-04-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 2.625 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 34 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR GBP SONIO/0.75000 09/21/22-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZG3057F4V07 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 2451625.890000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.4239282 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
2. The reference instrument is an index or custom basket. (26) |
Index name. | SONIA O/N Deposit Rates Swap |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | SONIA O/N Deposit Rates Swap |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 1 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 1 |
Receipts: Base currency. |
United Kingdom Pound
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 0.750000 |
Payments: Base currency |
United Kingdom Pound
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2032-09-21 |
iii. Upfront payments or receipts | |
Upfront payments. | 844716.990000 |
ISO Currency Code. |
United Kingdom Pound
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United Kingdom Pound
|
iv. Notional amount. | 8700000.000000 |
ISO Currency Code. | GBP |
v. Unrealized appreciation or depreciation. (24) | 1606908.900000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 35 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR GBP SONIO/0.75000 09/21/22-30Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZQ7991R2RY6 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 1351316.970000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.2336659 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
2. The reference instrument is an index or custom basket. (26) |
Index name. | SONIA O/N Deposit Rates Swap |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | SONIA O/N Deposit Rates Swap |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 1 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 1 |
Receipts: Base currency. |
United Kingdom Pound
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 0.750000 |
Payments: Base currency |
United Kingdom Pound
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2052-09-21 |
iii. Upfront payments or receipts | |
Upfront payments. | 171170.810000 |
ISO Currency Code. |
United Kingdom Pound
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United Kingdom Pound
|
iv. Notional amount. | 2300000.000000 |
ISO Currency Code. | GBP |
v. Unrealized appreciation or depreciation. (24) | 1180146.160000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 36 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625 |
d. CUSIP (if any). | BJSF9FII4 |
At least one of the following other identifiers: |
- ISIN | XS2055091784 |
Balance. (2) |
a. Balance | 1200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1239472.760000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.2143261 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-09-24 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.625 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 37 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR GBP SONIO/2.00000 03/15/23-10Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ92MRVXG623 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 693705.330000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.1199536 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
2. The reference instrument is an index or custom basket. (26) |
Index name. | SONIA O/N Deposit Rates Swap |
Index identifier, if any. | N/A |
Narrative description. (27) | N/A |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | SONIA O/N Deposit Rates Swap |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 1 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 1 |
Receipts: Base currency. |
United Kingdom Pound
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 2.000000 |
Payments: Base currency |
United Kingdom Pound
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2033-03-15 |
iii. Upfront payments or receipts | |
Upfront payments. | 512148.120000 |
ISO Currency Code. |
United Kingdom Pound
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United Kingdom Pound
|
iv. Notional amount. | 4600000.000000 |
ISO Currency Code. | GBP |
v. Unrealized appreciation or depreciation. (24) | 181557.210000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 38 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR |
d. CUSIP (if any). | ACI0ZY1X9 |
At least one of the following other identifiers: |
- ISIN | XS1752894292 |
Balance. (2) |
a. Balance | 2100000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1917954.330000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.3316473 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-18 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.677 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 39 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR |
d. CUSIP (if any). | ACI1J42S1 |
At least one of the following other identifiers: |
- ISIN | XS2106849727 |
Balance. (2) |
a. Balance | 2361000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2292178.770000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.3963571 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-01-22 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 40 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5 |
d. CUSIP (if any). | ACI1DBG64 |
At least one of the following other identifiers: |
- ISIN | XS2031926731 |
Balance. (2) |
a. Balance | 5318000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 5601558.530000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.9686057 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-23 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 41 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR |
d. CUSIP (if any). | ACI1R35P7 |
At least one of the following other identifiers: |
- ISIN | XS2228919739 |
Balance. (2) |
a. Balance | 1400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1363311.800000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.2357400 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-09-10 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 42 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR USD SOFR/2.00000 12/21/22-7Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01JHU1 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -8780583.600000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.5183137 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | USD-SOFR-COMPOUND |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU01JHU1-USD-SOFR-COMPOUND |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 2.000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Payments: fixed or floating | Floating |
Payments: Floating rate Index. | United States SOFR Secured Overnight Financing Rate |
Payments: Floating rate Spread. | 0.000000 |
Payment: Floating Rate Reset Dates. | Day |
Payment: Floating Rate Reset Dates Unit. | 1 |
Payment: Floating Rate Tenor. | Day |
Payment: Floating Rate Tenor Unit. | 1 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2029-12-21 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -10975479.130000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 106500000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 2194895.530000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 43 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR USD SOFR/2.30000 01/17/24-2Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01KK34 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 37234.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0064385 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | USD-SOFR-COMPOUND |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU01KK34-USD-SOFR-COMPOUND |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | United States SOFR Secured Overnight Financing Rate |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 1 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 1 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 2.300000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2026-01-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 914.230000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 2000000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 36320.570000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 44 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR USD SOFR/2.35000 01/17/24-1Y CME |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01KM73 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 153830.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0265998 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | USD-SOFR-COMPOUND |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU01KM73-USD-SOFR-COMPOUND |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | United States SOFR Secured Overnight Financing Rate |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 1 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 1 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 2.350000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2025-01-17 |
iii. Upfront payments or receipts | |
Upfront payments. | 1339.680000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 12500000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 152490.320000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 45 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RFR USD SOFR/2.45000 12/20/23-1Y LCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWU01KK26 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 303345.060000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0524536 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/A |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | USD-SOFR-COMPOUND |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | SWU01KK26-USD-SOFR-COMPOUND |
If other identifier provided, indicate the type of identifier used. | Internal ID |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☐ Fixed ☒ Floating ☐ Other |
Receipts: Floating rate Index. | United States SOFR Secured Overnight Financing Rate |
Receipts: Floating rate Spread. | 0.000000 |
Receipt: Floating Rate Reset Dates. | Day |
Receipt: Floating Rate Reset Dates Unit. | 1 |
Receipts: Floating Rate Tenor. | Day |
Receipts: Floating Rate Tenor Unit. | 1 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Payments: Fixed rate. | 2.450000 |
Payments: Base currency |
United States Dollar
|
Payments: Amount | 0.000000 |
ii. Termination or maturity date. | 2024-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -1795.570000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 24600000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 305140.630000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 46 |
a. Name of issuer (if any). | BANCO DE CREDITO DEL PERU SA |
b. LEI (if any) of issuer. (1) | 549300EQYQ8SCQZ4BY14 |
c. Title of the issue or description of the investment. | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65 |
d. CUSIP (if any). | 05971U2B2 |
At least one of the following other identifiers: |
- ISIN | US05971U2B27 |
Balance. (2) |
a. Balance | 800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | 200276.390000 |
f. Exchange rate. | 3.762800 |
g. Percentage value compared to net assets of the Fund. | 0.0346312 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-09-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.65 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 47 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD EUR BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BQKBB1NBW |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -1688934.180000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.2920457 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
i. Amount and description of currency sold. |
Amount of currency sold. | 74144697.000000 |
Description of currency sold. |
Euro Member Countries
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 78720981.840000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -1688934.180000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 48 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WINDSTREAM HOLDINGS II, LLC 8725909B2 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 967FAL902 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 565698.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7664578.840000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.3253373 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Warrant
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | None | N/A |
ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | WINDSTREAM HOLDINGS INC |
Title of issue. | WINDSTREAM *BACKSTOP COMMITMENT* |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | EQTYDU9M6 |
If other identifier provided, indicate the type of identifier used. | Internal ID |
iv. Number of shares or principal amount of underlying reference instrument per contract. |
Number of shares. | N/A |
v. Exercise price or rate. | 0.000000 |
vi. Exercise Price Currency Code |
United States Dollar
|
vii. Expiration date. | 2055-09-21 |
viii. Delta. | XXXX |
ix. Unrealized appreciation or depreciation. (24) | 2974374.070000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 49 |
a. Name of issuer (if any). | BARCLAYS PLC |
b. LEI (if any) of issuer. (1) | 213800LBQA1Y9L22JB70 |
c. Title of the issue or description of the investment. | BARCLAYS PLC SR UNSECURED 11/33 VAR |
d. CUSIP (if any). | 06738ECE3 |
At least one of the following other identifiers: |
- ISIN | US06738ECE32 |
Balance. (2) |
a. Balance | 2282000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2524549.790000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4365380 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-11-02 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.437 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 50 |
a. Name of issuer (if any). | CLEAR CHANNEL OUTDOOR HOLDINGS INC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK |
d. CUSIP (if any). | 18453H106 |
At least one of the following other identifiers: |
- ISIN | US18453H1068 |
Balance. (2) |
a. Balance | 549096.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 658915.200000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1139378 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 51 |
a. Name of issuer (if any). | BCAP LLC 2011-RR8 TRUST |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2011 RR8 2A4 144A |
d. CUSIP (if any). | 05536LAL9 |
At least one of the following other identifiers: |
- ISIN | US05536LAL99 |
Balance. (2) |
a. Balance | 8607742.180000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6385840.320000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1042215 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-08-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.33501 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 52 |
a. Name of issuer (if any). | BCAP LLC 2013-RR5 TRUST |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2013 RR5 4A2 144A |
d. CUSIP (if any). | 05542MAP0 |
At least one of the following other identifiers: |
- ISIN | US05542MAP05 |
Balance. (2) |
a. Balance | 3372044.620000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3002860.020000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5192461 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-09-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.83557 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 53 |
a. Name of issuer (if any). | BCAP LLC TRUST 2010-RR6 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2010 RR6 1812 144A |
d. CUSIP (if any). | 05533CLD8 |
At least one of the following other identifiers: |
- ISIN | US05533CLD82 |
Balance. (2) |
a. Balance | 2312682.930000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1724273.490000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2981565 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 54 |
a. Name of issuer (if any). | BCAP LLC TRUST 2010-RR9 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2010 RR9 1A10 144A |
d. CUSIP (if any). | 05533GAK5 |
At least one of the following other identifiers: |
- ISIN | US05533GAK58 |
Balance. (2) |
a. Balance | 1688550.360000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1653110.220000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2858512 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-08-28 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.07129 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 55 |
a. Name of issuer (if any). | BCAP LLC TRUST 2010-RR9 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2010 RR9 5A10 144A |
d. CUSIP (if any). | 05533GCJ6 |
At least one of the following other identifiers: |
- ISIN | US05533GCJ67 |
Balance. (2) |
a. Balance | 1542133.240000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1235419.440000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2136252 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-12-26 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 56 |
a. Name of issuer (if any). | BCAP LLC TRUST 2011-RR5 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2011 RR5 12A2 144A |
d. CUSIP (if any). | 05534AAP6 |
At least one of the following other identifiers: |
- ISIN | US05534AAP66 |
Balance. (2) |
a. Balance | 645222.830000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 916838.160000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1585371 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-03-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.60434 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 57 |
a. Name of issuer (if any). | BCAP LLC TRUST 2011-RR5 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2011 RR5 9A2 144A |
d. CUSIP (if any). | 05534AAM3 |
At least one of the following other identifiers: |
- ISIN | US05534AAM36 |
Balance. (2) |
a. Balance | 763607.100000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 304743.680000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0526954 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-05-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 16.2159 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 58 |
a. Name of issuer (if any). | BCAP LLC TRUST 2011-RR6 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BCAP LLC TRUST BCAP 2011 RR6 6A1 144A |
d. CUSIP (if any). | 05535YAG3 |
At least one of the following other identifiers: |
- ISIN | US05535YAG35 |
Balance. (2) |
a. Balance | 4349113.450000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3698264.710000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6394935 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.77764 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 59 |
a. Name of issuer (if any). | BEAR STEARNS ALT-A TRUST 2005-10 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1 |
d. CUSIP (if any). | 07386HYW5 |
At least one of the following other identifiers: |
- ISIN | US07386HYW59 |
Balance. (2) |
a. Balance | 487991.070000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 617766.050000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1068224 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.34529 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 60 |
a. Name of issuer (if any). | BEAR STEARNS ALT-A TRUST 2005-7 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1 |
d. CUSIP (if any). | 07386HVV0 |
At least one of the following other identifiers: |
- ISIN | US07386HVV04 |
Balance. (2) |
a. Balance | 240628.810000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 136515.460000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0236059 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-09-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.90745 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 61 |
a. Name of issuer (if any). | BEAR STEARNS ALT-A TRUST 2005-9 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1 |
d. CUSIP (if any). | 07386HYF2 |
At least one of the following other identifiers: |
- ISIN | US07386HYF27 |
Balance. (2) |
a. Balance | 3529879.920000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2528383.450000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4372009 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-11-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.70032 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 62 |
a. Name of issuer (if any). | BEAR STEARNS ALT-A TRUST 2006-6 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1 |
d. CUSIP (if any). | 073868BE0 |
At least one of the following other identifiers: |
- ISIN | US073868BE01 |
Balance. (2) |
a. Balance | 281387.110000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 147549.240000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0255138 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.73149 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 63 |
a. Name of issuer (if any). | BEAR STEARNS ALT-A TRUST II 2007-1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1 |
d. CUSIP (if any). | 07389KAA9 |
At least one of the following other identifiers: |
- ISIN | US07389KAA97 |
Balance. (2) |
a. Balance | 3777053.330000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1927485.460000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3332953 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2047-09-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.67207 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 64 |
a. Name of issuer (if any). | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AQ1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AQ1 12A |
d. CUSIP (if any). | 07389PAD2 |
At least one of the following other identifiers: |
- ISIN | US07389PAD24 |
Balance. (2) |
a. Balance | 1874395.590000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2772166.410000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4793552 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-10-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.12529 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 65 |
a. Name of issuer (if any). | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 1A3A |
d. CUSIP (if any). | 07389QAE8 |
At least one of the following other identifiers: |
- ISIN | US07389QAE89 |
Balance. (2) |
a. Balance | 332502.300000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 180942.700000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0312881 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-10-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 66 |
a. Name of issuer (if any). | BELLE HAVEN ABS CDO LTD 2006-1A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A |
d. CUSIP (if any). | 078452AA7 |
At least one of the following other identifiers: |
- ISIN | US078452AA72 |
Balance. (2) |
a. Balance | 180259327.050000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1696781.050000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2934026 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-07-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.47257 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 67 |
a. Name of issuer (if any). | BNP PARIBAS |
b. LEI (if any) of issuer. (1) | R0MUWSFPU8MPRO8K5P83 |
c. Title of the issue or description of the investment. | BNP PARIBAS SR UNSECURED 144A 01/33 VAR |
d. CUSIP (if any). | 09659W2U7 |
At least one of the following other identifiers: |
- ISIN | US09659W2U76 |
Balance. (2) |
a. Balance | 1659000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1387780.870000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2399712 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-01-20 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.132 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 68 |
a. Name of issuer (if any). | BOEING CO/THE |
b. LEI (if any) of issuer. (1) | RVHJWBXLJ1RFUBSY1F30 |
c. Title of the issue or description of the investment. | BOEING CO SR UNSECURED 02/33 6.125 |
d. CUSIP (if any). | 097023AU9 |
At least one of the following other identifiers: |
- ISIN | US097023AU94 |
Balance. (2) |
a. Balance | 1331000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1418609.150000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2453019 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.125 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 69 |
a. Name of issuer (if any). | BOI FINANCE BV |
b. LEI (if any) of issuer. (1) | 724500ZH3H2YACBUNF38 |
c. Title of the issue or description of the investment. | BOI FINANCE BV 02/27 7.5 |
d. CUSIP (if any). | ACI23L5Y2 |
At least one of the following other identifiers: |
- ISIN | XS2348767323 |
Balance. (2) |
a. Balance | 3000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2531743.310000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.4377819 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-16 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 70 |
a. Name of issuer (if any). | CAESARS ENTERTAINMENT INC |
b. LEI (if any) of issuer. (1) | 549300FA4CTCW903Y781 |
c. Title of the issue or description of the investment. | CAESARS ENTERTAINMENT CORP TERM LOAN B |
d. CUSIP (if any). | 12768EAG1 |
At least one of the following other identifiers: |
- ISIN | US12768EAG17 |
Balance. (2) |
a. Balance | 700000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 697665.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1206383 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-02-06 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.157 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 71 |
a. Name of issuer (if any). | CARNIVAL CORPORATION |
b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
c. Title of the issue or description of the investment. | CARNIVAL CORPORATION EUR TERM LOAN B |
d. CUSIP (if any). | P2121YAP3 |
At least one of the following other identifiers: |
- ISIN | XAP2121YAP33 |
Balance. (2) |
a. Balance | 2259343.520000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2419629.590000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.4183955 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PANAMA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-06-30 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.655 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 72 |
a. Name of issuer (if any). | CARVANA CO |
b. LEI (if any) of issuer. (1) | 5493003WEAK2PJ5WS063 |
c. Title of the issue or description of the investment. | CARVANA CO COMPANY GUAR 144A 05/30 10.25 |
d. CUSIP (if any). | 146869AJ1 |
At least one of the following other identifiers: |
- ISIN | US146869AJ18 |
Balance. (2) |
a. Balance | 2500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1425552.580000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2465025 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-05-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 73 |
a. Name of issuer (if any). | CGG SA |
b. LEI (if any) of issuer. (1) | 969500FCVQ5SLAAUJV59 |
c. Title of the issue or description of the investment. | CGG SA SR SECURED 144A 04/27 7.75 |
d. CUSIP (if any). | ACI1WM066 |
At least one of the following other identifiers: |
- ISIN | XS2324372510 |
Balance. (2) |
a. Balance | 2600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2403794.010000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.4156573 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 74 |
a. Name of issuer (if any). | CGG SA |
b. LEI (if any) of issuer. (1) | 969500FCVQ5SLAAUJV59 |
c. Title of the issue or description of the investment. | CGG SA SR SECURED 144A 04/27 8.75 |
d. CUSIP (if any). | 12531TAF6 |
At least one of the following other identifiers: |
- ISIN | US12531TAF66 |
Balance. (2) |
a. Balance | 3656000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3052540.640000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5278367 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 75 |
a. Name of issuer (if any). | CGG SA |
b. LEI (if any) of issuer. (1) | 969500FCVQ5SLAAUJV59 |
c. Title of the issue or description of the investment. | CGG SA SR SECURED REGS 04/27 7.75 |
d. CUSIP (if any). | ACI1WLTT7 |
At least one of the following other identifiers: |
- ISIN | XS2324372270 |
Balance. (2) |
a. Balance | 2900000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2681154.860000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.4636177 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 76 |
a. Name of issuer (if any). | CHASE MORGAGE FINANCE CORP 2005-A1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2 |
d. CUSIP (if any). | 16162WPE3 |
At least one of the following other identifiers: |
- ISIN | US16162WPE39 |
Balance. (2) |
a. Balance | 3351.880000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3041.870000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0005260 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-12-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.94089 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 77 |
a. Name of issuer (if any). | CHASE MORTGAGE FINANCE CORP 2006-S1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A2 |
d. CUSIP (if any). | 16162WQY8 |
At least one of the following other identifiers: |
- ISIN | US16162WQY83 |
Balance. (2) |
a. Balance | 5553.500000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3561.650000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0006159 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-05-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 78 |
a. Name of issuer (if any). | CHS/COMMUNITY HEALTH SYSTEMS INC |
b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
c. Title of the issue or description of the investment. | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8 |
d. CUSIP (if any). | 12543DBC3 |
At least one of the following other identifiers: |
- ISIN | US12543DBC39 |
Balance. (2) |
a. Balance | 3186000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3082455.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5330094 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-03-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 79 |
a. Name of issuer (if any). | CHS/COMMUNITY HEALTH SYSTEMS INC |
b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
c. Title of the issue or description of the investment. | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 05/30 5.25 |
d. CUSIP (if any). | 12543DBM1 |
At least one of the following other identifiers: |
- ISIN | US12543DBM11 |
Balance. (2) |
a. Balance | 4100000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3219935.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5567821 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-05-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 80 |
a. Name of issuer (if any). | CIFC FUNDING LTD 2014-2RA |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CIFC FUNDING LTD CIFC 2014 2RA INC 144A |
d. CUSIP (if any). | 125475AA1 |
At least one of the following other identifiers: |
- ISIN | US125475AA17 |
Balance. (2) |
a. Balance | 2400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 530757.770000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0917771 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-04-24 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 81 |
a. Name of issuer (if any). | CIFC FUNDING LTD 2014-3A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CIFC FUNDING LTD CIFC 2014 3A INC 144A |
d. CUSIP (if any). | 12549TAA7 |
At least one of the following other identifiers: |
- ISIN | US12549TAA79 |
Balance. (2) |
a. Balance | 1500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 310554.720000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0537002 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-07-22 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 82 |
a. Name of issuer (if any). | CITICORP MORTGAGE SECURITIES 2007-3 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CITICORP MORTGAGE SECURITIES, CMSI 2007 3 3A1 |
d. CUSIP (if any). | 17312FAR4 |
At least one of the following other identifiers: |
- ISIN | US17312FAR47 |
Balance. (2) |
a. Balance | 8831.090000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 8499.600000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0014697 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-04-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 83 |
a. Name of issuer (if any). | CITICORP MORTGAGE SECURITIES 2007-8 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CITICORP MORTGAGE SECURITIES, CMSI 2007 8 1A1 |
d. CUSIP (if any). | 17312DAA6 |
At least one of the following other identifiers: |
- ISIN | US17312DAA63 |
Balance. (2) |
a. Balance | 313445.090000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 308451.130000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0533365 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-09-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 84 |
a. Name of issuer (if any). | FARM CREDIT BANK OF TEXAS |
b. LEI (if any) of issuer. (1) | V1EBJIOLRNYDHDF63Z33 |
c. Title of the issue or description of the investment. | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR |
d. CUSIP (if any). | 30767EAD1 |
At least one of the following other identifiers: |
- ISIN | US30767EAD13 |
Balance. (2) |
a. Balance | 1000000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 862500.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1491411 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 85 |
a. Name of issuer (if any). | CITIGROUP MTGE LOAN TR INC 2007-AMC1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A |
d. CUSIP (if any). | 17311BAS2 |
At least one of the following other identifiers: |
- ISIN | US17311BAS25 |
Balance. (2) |
a. Balance | 1312668.680000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 734285.330000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1269705 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.00529 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 86 |
a. Name of issuer (if any). | CITIGROUP MTGE LOAN TR INC 2007-AMC1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B |
d. CUSIP (if any). | 17311BAB9 |
At least one of the following other identifiers: |
- ISIN | US17311BAB99 |
Balance. (2) |
a. Balance | 11457685.770000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4805176.960000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8308976 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.99529 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 87 |
a. Name of issuer (if any). | CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ |
d. CUSIP (if any). | 14986DAJ9 |
At least one of the following other identifiers: |
- ISIN | US14986DAJ90 |
Balance. (2) |
a. Balance | 91395.120000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 82009.010000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0141808 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2048-10-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.688 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 88 |
a. Name of issuer (if any). | COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM |
d. CUSIP (if any). | 20173WAH1 |
At least one of the following other identifiers: |
- ISIN | US20173WAH16 |
Balance. (2) |
a. Balance | 329086.760000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 83275.400000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0143997 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-10 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 6.20988 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 89 |
a. Name of issuer (if any). | CORK STREET CLO DESIGNATED ACTIVITY CO 1A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A |
d. CUSIP (if any). | ACI0QPJC5 |
At least one of the following other identifiers: |
- ISIN | XS1319592900 |
Balance. (2) |
a. Balance | 621316.240000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 195856.890000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0338670 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-11-27 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 90 |
a. Name of issuer (if any). | CORSAIR INTERNATIONAL LIMITED |
b. LEI (if any) of issuer. (1) | 213800F3PS68ENYG4O41 |
c. Title of the issue or description of the investment. | CORSAIR INTERNATIONAL UNSECURED REGS 01/27 VAR |
d. CUSIP (if any). | ACI2363S0 |
At least one of the following other identifiers: |
- ISIN | XS2412044302 |
Balance. (2) |
a. Balance | 1000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1068232.400000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.1847157 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
JERSEY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-01-28 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.772 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 91 |
a. Name of issuer (if any). | COSAINT RE PTE LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COSAINT RE PTE LTD BONDS 144A 04/28 VAR |
d. CUSIP (if any). | 22112CAA0 |
At least one of the following other identifiers: |
- ISIN | US22112CAA09 |
Balance. (2) |
a. Balance | 889768.260000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 679560.510000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1175077 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SINGAPORE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-03 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.51 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 92 |
a. Name of issuer (if any). | COUNTRYWIDE ALT LN TRUST 2005-1CB |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A2 |
d. CUSIP (if any). | 12667F2R5 |
At least one of the following other identifiers: |
- ISIN | US12667F2R58 |
Balance. (2) |
a. Balance | 201898.150000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 92559.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0160052 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-03-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 93 |
a. Name of issuer (if any). | COUNTRYWIDE ALT LOAN TRUST 2004-35T2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 35T2 A5 |
d. CUSIP (if any). | 12667FQ99 |
At least one of the following other identifiers: |
- ISIN | US12667FQ999 |
Balance. (2) |
a. Balance | 240284.470000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 185677.930000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0321069 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 94 |
a. Name of issuer (if any). | COUNTRYWIDE ALT LOAN TRUST 2006-36T2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A3 |
d. CUSIP (if any). | 02146XAB4 |
At least one of the following other identifiers: |
- ISIN | US02146XAB47 |
Balance. (2) |
a. Balance | 549763.910000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 243872.960000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0421698 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 95 |
a. Name of issuer (if any). | COUNTRYWIDE ALT LOAN TRUST 2006-36T2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7 |
d. CUSIP (if any). | 02146XAF5 |
At least one of the following other identifiers: |
- ISIN | US02146XAF50 |
Balance. (2) |
a. Balance | 399936.110000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 192677.980000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0333173 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 96 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2004-28CB |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 28CB 5A1 |
d. CUSIP (if any). | 12667FYU3 |
At least one of the following other identifiers: |
- ISIN | US12667FYU38 |
Balance. (2) |
a. Balance | 127639.550000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 122538.050000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0211889 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-01-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 97 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2004-30CB |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 30CB 2A4 |
d. CUSIP (if any). | 12667FJ55 |
At least one of the following other identifiers: |
- ISIN | US12667FJ556 |
Balance. (2) |
a. Balance | 193199.440000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 137040.570000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0236967 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 98 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 79CB A3 |
d. CUSIP (if any). | 12668BAC7 |
At least one of the following other identifiers: |
- ISIN | US12668BAC72 |
Balance. (2) |
a. Balance | 272752.920000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 167624.860000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0289852 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 99 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2006-22R |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1 |
d. CUSIP (if any). | 02147LAA1 |
At least one of the following other identifiers: |
- ISIN | US02147LAA17 |
Balance. (2) |
a. Balance | 1478620.640000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 910768.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1574876 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-05-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 100 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A2 |
d. CUSIP (if any). | 02146VAB8 |
At least one of the following other identifiers: |
- ISIN | US02146VAB80 |
Balance. (2) |
a. Balance | 427846.350000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 332973.390000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0575768 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 101 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4 |
d. CUSIP (if any). | 12668BMX8 |
At least one of the following other identifiers: |
- ISIN | US12668BMX81 |
Balance. (2) |
a. Balance | 364987.530000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 188766.220000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0326409 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-04-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 102 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9 |
d. CUSIP (if any). | 02149VAJ8 |
At least one of the following other identifiers: |
- ISIN | US02149VAJ89 |
Balance. (2) |
a. Balance | 730182.130000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 365088.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0631301 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-04-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 103 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A13 |
d. CUSIP (if any). | 02147BAN5 |
At least one of the following other identifiers: |
- ISIN | US02147BAN55 |
Balance. (2) |
a. Balance | 469129.830000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 222364.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0384507 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-04-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 104 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LN TR 2008-2R |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 5A1 |
d. CUSIP (if any). | 021482AJ3 |
At least one of the following other identifiers: |
- ISIN | US021482AJ36 |
Balance. (2) |
a. Balance | 735866.470000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 440080.160000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0760974 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-08-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 105 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LOAN 2006-HY3 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY3 3A1 |
d. CUSIP (if any). | 12668BNK5 |
At least one of the following other identifiers: |
- ISIN | US12668BNK51 |
Balance. (2) |
a. Balance | 290696.060000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 245538.430000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0424578 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-04-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.24771 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 106 |
a. Name of issuer (if any). | COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A3 |
d. CUSIP (if any). | 02147RAQ3 |
At least one of the following other identifiers: |
- ISIN | US02147RAQ39 |
Balance. (2) |
a. Balance | 369492.920000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 131238.310000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0226934 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 107 |
a. Name of issuer (if any). | COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9 |
d. CUSIP (if any). | 17025QAJ6 |
At least one of the following other identifiers: |
- ISIN | US17025QAJ67 |
Balance. (2) |
a. Balance | 1140853.380000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 536997.860000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0928562 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 108 |
a. Name of issuer (if any). | COUNTRYWIDE HOME LOANS 2005-1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE HOME LOANS CWHL 2005 1 2A1 |
d. CUSIP (if any). | 12669GRQ6 |
At least one of the following other identifiers: |
- ISIN | US12669GRQ63 |
Balance. (2) |
a. Balance | 2092367.470000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1651842.720000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2856320 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-03-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.42529 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 109 |
a. Name of issuer (if any). | COUNTRYWIDE HOME LOANS 2006-J4 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | COUNTRYWIDE HOME LOANS CWHL 2006 J4 A3 |
d. CUSIP (if any). | 12669YAC6 |
At least one of the following other identifiers: |
- ISIN | US12669YAC66 |
Balance. (2) |
a. Balance | 326595.430000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 136448.960000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0235944 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-09-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 110 |
a. Name of issuer (if any). | CREDIT AGRICOLE SA |
b. LEI (if any) of issuer. (1) | 969500TJ5KRTCJQWXH05 |
c. Title of the issue or description of the investment. | CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR |
d. CUSIP (if any). | F22797RT7 |
At least one of the following other identifiers: |
- ISIN | USF22797RT78 |
Balance. (2) |
a. Balance | 300000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 295196.700000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0510446 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-01-23 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.875 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 111 |
a. Name of issuer (if any). | CREDIT SUISSE AG/NEW YORK BRANCH |
b. LEI (if any) of issuer. (1) | 549300D0YARF5HYP1809 |
c. Title of the issue or description of the investment. | CREDIT SUISSE NEW YORK SR UNSECURED 02/28 7.5 |
d. CUSIP (if any). | 22550L2M2 |
At least one of the following other identifiers: |
- ISIN | US22550L2M24 |
Balance. (2) |
a. Balance | 250000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 265625.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0459311 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 112 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG COCO JR SUB 144A |
d. CUSIP (if any). | 225436AA2 |
At least one of the following other identifiers: |
- ISIN | US225436AA21 |
Balance. (2) |
a. Balance | 1300000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 74750.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0129256 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-29 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 113 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG COCO JR SUB 144A |
d. CUSIP (if any). | 22546DAB2 |
At least one of the following other identifiers: |
- ISIN | US22546DAB29 |
Balance. (2) |
a. Balance | 6030000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 346725.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0599547 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-29 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 114 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG COCO JR SUB REGS |
d. CUSIP (if any). | ACI07D348 |
At least one of the following other identifiers: |
- ISIN | XS0989394589 |
Balance. (2) |
a. Balance | 1463000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 84122.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0145462 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-29 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 115 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR |
d. CUSIP (if any). | 225401AP3 |
At least one of the following other identifiers: |
- ISIN | US225401AP33 |
Balance. (2) |
a. Balance | 400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 356120.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0615793 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-04-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.194 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 116 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED 144A 05/32 VAR |
d. CUSIP (if any). | 225401AU2 |
At least one of the following other identifiers: |
- ISIN | US225401AU28 |
Balance. (2) |
a. Balance | 300000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 241941.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0418358 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-05-14 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.091 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 117 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR |
d. CUSIP (if any). | 225401AY4 |
At least one of the following other identifiers: |
- ISIN | US225401AY40 |
Balance. (2) |
a. Balance | 500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 484447.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0837693 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-07-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.373 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 118 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR |
d. CUSIP (if any). | 225401AV0 |
At least one of the following other identifiers: |
- ISIN | US225401AV01 |
Balance. (2) |
a. Balance | 600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 596580.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1031589 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-08-11 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.442 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 119 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED 144A 11/33 VAR |
d. CUSIP (if any). | 225401BB3 |
At least one of the following other identifiers: |
- ISIN | US225401BB38 |
Balance. (2) |
a. Balance | 250000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 296850.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0513305 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-11-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.016 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 120 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED REGS 01/26 VAR |
d. CUSIP (if any). | ACI1V1BM6 |
At least one of the following other identifiers: |
- ISIN | CH0591979635 |
Balance. (2) |
a. Balance | 100000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 101126.140000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0174864 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-01-16 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.288 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 121 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED REGS 03/29 VAR |
d. CUSIP (if any). | ACI2B33K5 |
At least one of the following other identifiers: |
- ISIN | CH1214797172 |
Balance. (2) |
a. Balance | 1000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1187621.740000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.2053602 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 122 |
a. Name of issuer (if any). | CREDIT SUISSE GROUP AG |
b. LEI (if any) of issuer. (1) | 549300506SI9CRFV9Z86 |
c. Title of the issue or description of the investment. | CREDIT SUISSE GROUP AG SR UNSECURED REGS 09/29 0.65 |
d. CUSIP (if any). | ACI1FB9Q6 |
At least one of the following other identifiers: |
- ISIN | CH0494734418 |
Balance. (2) |
a. Balance | 200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 161873.100000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0279906 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-09-10 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0.65 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 123 |
a. Name of issuer (if any). | CREDIT SUISSE MORTGAGE CAPITAL CERT 2006 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 2A11 |
d. CUSIP (if any). | 225470P23 |
At least one of the following other identifiers: |
- ISIN | US225470P231 |
Balance. (2) |
a. Balance | 97596.340000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 54371.130000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0094017 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-04-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 124 |
a. Name of issuer (if any). | CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-2R |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 2R 2A16 144A |
d. CUSIP (if any). | 12643GBA9 |
At least one of the following other identifiers: |
- ISIN | US12643GBA94 |
Balance. (2) |
a. Balance | 5740034.470000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4719827.720000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8161393 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-10-26 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 4.10306 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 125 |
a. Name of issuer (if any). | CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A |
d. CUSIP (if any). | 12651QAQ2 |
At least one of the following other identifiers: |
- ISIN | US12651QAQ29 |
Balance. (2) |
a. Balance | 5379000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4899731.640000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8472478 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-07-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.034 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 126 |
a. Name of issuer (if any). | CS FIRST BOSTON MTGE SEC CORP 2005-10 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 8A3 |
d. CUSIP (if any). | 225470FG3 |
At least one of the following other identifiers: |
- ISIN | US225470FG35 |
Balance. (2) |
a. Balance | 200677.960000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 152537.610000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0263764 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-11-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 127 |
a. Name of issuer (if any). | CVS PASS-THROUGH TRUST |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507 |
d. CUSIP (if any). | 126650BS8 |
At least one of the following other identifiers: |
- ISIN | US126650BS86 |
Balance. (2) |
a. Balance | 671000.060000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 723381.320000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1250851 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-01-10 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.507 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 128 |
a. Name of issuer (if any). | IHEARTMEDIA INC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IHEARTMEDIA INC CLASS A COMMON STOCK |
d. CUSIP (if any). | 45174J509 |
At least one of the following other identifiers: |
- ISIN | US45174J5092 |
Balance. (2) |
a. Balance | 129909.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 506645.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0876076 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 129 |
a. Name of issuer (if any). | IHEARTMEDIA INC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IHEARTMEDIA INC CLASS B COMMON STOCK |
d. CUSIP (if any). | 45174J608 |
At least one of the following other identifiers: |
- ISIN | US45174J6082 |
Balance. (2) |
a. Balance | 100822.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 353885.220000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0611928 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 130 |
a. Name of issuer (if any). | DEUTSCHE BANK AG/NEW YORK BRANCH |
b. LEI (if any) of issuer. (1) | 7LTWFZYICNSX8D621K86 |
c. Title of the issue or description of the investment. | DEUTSCHE BANK NY SR UNSECURED 01/29 VAR |
d. CUSIP (if any). | 251526CS6 |
At least one of the following other identifiers: |
- ISIN | US251526CS67 |
Balance. (2) |
a. Balance | 300000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 298144.950000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0515544 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
GERMANY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-01-18 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.72 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 131 |
a. Name of issuer (if any). | DEUTSCHE BANK AG/NEW YORK BRANCH |
b. LEI (if any) of issuer. (1) | 7LTWFZYICNSX8D621K86 |
c. Title of the issue or description of the investment. | DEUTSCHE BANK NY SR UNSECURED 09/31 VAR |
d. CUSIP (if any). | 251526CD9 |
At least one of the following other identifiers: |
- ISIN | US251526CD98 |
Balance. (2) |
a. Balance | 400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 328349.900000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0567773 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
GERMANY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-09-18 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.547 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 132 |
a. Name of issuer (if any). | DIAMOND SPORTS GROUP LLC |
b. LEI (if any) of issuer. (1) | 5493002K6DHWNZH8YA34 |
c. Title of the issue or description of the investment. | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN |
d. CUSIP (if any). | 25277BAE8 |
At least one of the following other identifiers: |
- ISIN | US25277BAE83 |
Balance. (2) |
a. Balance | 17964825.730000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 16954304.280000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.9316905 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-05-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 12.7755 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 133 |
a. Name of issuer (if any). | DIRECTV FINANCING LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | DIRECTV FINANCING LLC TERM LOAN |
d. CUSIP (if any). | 25460HAB8 |
At least one of the following other identifiers: |
- ISIN | US25460HAB87 |
Balance. (2) |
a. Balance | 4752747.260000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4584785.170000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7927881 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-08-02 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.8403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 134 |
a. Name of issuer (if any). | DISH DBS CORPORATION |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | DISH DBS CORP SR SECURED 144A 12/26 5.25 |
d. CUSIP (if any). | 25470XBE4 |
At least one of the following other identifiers: |
- ISIN | US25470XBE40 |
Balance. (2) |
a. Balance | 7000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5598390.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9680578 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 135 |
a. Name of issuer (if any). | DISH DBS CORPORATION |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | DISH DBS CORP SR SECURED 144A 12/28 5.75 |
d. CUSIP (if any). | 25470XBF1 |
At least one of the following other identifiers: |
- ISIN | US25470XBF15 |
Balance. (2) |
a. Balance | 7260000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5431387.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9391802 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-12-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 136 |
a. Name of issuer (if any). | DISH NETWORK CORPORATION |
b. LEI (if any) of issuer. (1) | 529900U350CWHH15G169 |
c. Title of the issue or description of the investment. | DISH NETWORK CORP SR UNSECURED 08/26 3.375 |
d. CUSIP (if any). | 25470MAB5 |
At least one of the following other identifiers: |
- ISIN | US25470MAB54 |
Balance. (2) |
a. Balance | 3400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1768000.270000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3057176 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-08-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.375 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☒ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
#1 | DISH NETWORK CORPORATION | DISH NETWORK CORP-A | United States Dollar |
At least one of the following other identifiers: | |||
Identifier type | Identifier value | ||
ISIN (if CUSIP is not available) | US25470M1099 | ||
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
#1 | 15.3429 | United States Dollar |
v. Delta (if applicable). | XXXX |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 137 |
a. Name of issuer (if any). | INTELSAT SA |
b. LEI (if any) of issuer. (1) | 549300YV2L21F4K80V46 |
c. Title of the issue or description of the investment. | INTELSAT EMERGENCE SA COMMON STOCK |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | LU2445093128 |
Balance. (2) |
a. Balance | 233192.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5713204.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9879111 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 138 |
a. Name of issuer (if any). | DOMINICAN REPUBLIC GOVT |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | DOM REP CB NOTES NOTES 144A 01/26 13 |
d. CUSIP (if any). | 25714PEU8 |
At least one of the following other identifiers: |
- ISIN | US25714PEU84 |
Balance. (2) |
a. Balance | 158600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | 2897296.110000 |
f. Exchange rate. | 54.750000 |
g. Percentage value compared to net assets of the Fund. | 0.5009923 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
DOMINICAN REPUBLIC
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-01-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 13 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 139 |
a. Name of issuer (if any). | DOMINICAN REPUBLIC GOVT |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | DOM REP CB NOTES NOTES 144A 12/25 13 |
d. CUSIP (if any). | 25714PER5 |
At least one of the following other identifiers: |
- ISIN | US25714PER55 |
Balance. (2) |
a. Balance | 148600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | 2714725.220000 |
f. Exchange rate. | 54.750000 |
g. Percentage value compared to net assets of the Fund. | 0.4694226 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
DOMINICAN REPUBLIC
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-12-05 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 13 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 140 |
a. Name of issuer (if any). | DOMINICAN REPUBLIC GOVT |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | DOMINICAN REPUBLIC SR UNSECURED 144A 02/33 13.625 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | US25714PES39 |
Balance. (2) |
a. Balance | 30400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | 631246.230000 |
f. Exchange rate. | 54.750000 |
g. Percentage value compared to net assets of the Fund. | 0.1091533 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
DOMINICAN REPUBLIC
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-02-03 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 13.625 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 141 |
a. Name of issuer (if any). | DTEK ENERGY BV (AKA: DTEK HOLDINGS BV) |
b. LEI (if any) of issuer. (1) | 9845009A70B44Q680820 |
c. Title of the issue or description of the investment. | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7.5 |
d. CUSIP (if any). | ACI1XVP76 |
At least one of the following other identifiers: |
- ISIN | XS2342930521 |
Balance. (2) |
a. Balance | 4192502.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1239408.400000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2143150 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-12-31 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 142 |
a. Name of issuer (if any). | DUFRY ONE BV |
b. LEI (if any) of issuer. (1) | 7245003K5MN9U7XW0808 |
c. Title of the issue or description of the investment. | DUFRY ONE BV COMPANY GUAR REGS 04/26 3.625 |
d. CUSIP (if any). | ACI1X5JS4 |
At least one of the following other identifiers: |
- ISIN | XS2333565815 |
Balance. (2) |
a. Balance | 3090000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Switzerland Franc
|
e. Value. (4) | 3194525.380000 |
f. Exchange rate. | 0.915000 |
g. Percentage value compared to net assets of the Fund. | 0.5523883 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-04-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.625 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 143 |
a. Name of issuer (if any). | EQUINITI (ARMOR HOLDCO INC) |
b. LEI (if any) of issuer. (1) | 254900X6HLK0YPTHHF09 |
c. Title of the issue or description of the investment. | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5 |
d. CUSIP (if any). | 04625PAA9 |
At least one of the following other identifiers: |
- ISIN | US04625PAA93 |
Balance. (2) |
a. Balance | 2700000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2201001.690000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3805910 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-11-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 144 |
a. Name of issuer (if any). | ESKOM HOLDINGS SOC LTD |
b. LEI (if any) of issuer. (1) | 3789001900ED06F65111 |
c. Title of the issue or description of the investment. | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75 |
d. CUSIP (if any). | S25221AC6 |
At least one of the following other identifiers: |
- ISIN | XS0958072240 |
Balance. (2) |
a. Balance | 1600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1590720.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2750628 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-08-06 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 145 |
a. Name of issuer (if any). | EXELA INTERMEDIATE LLC / EXELA FINANCE INC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5 |
d. CUSIP (if any). | 30162RAC5 |
At least one of the following other identifiers: |
- ISIN | US30162RAC51 |
Balance. (2) |
a. Balance | 88000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11530.640000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0019938 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-07-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 11.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 146 |
a. Name of issuer (if any). | FANNIE MAE 2009-106 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FANNIE MAE FNR 2009 106 SN |
d. CUSIP (if any). | 31398GUS6 |
At least one of the following other identifiers: |
- ISIN | US31398GUS64 |
Balance. (2) |
a. Balance | 133676.100000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10324.300000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0017852 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2040-01-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 1.40471 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 147 |
a. Name of issuer (if any). | FANNIE MAE REMICS 2012-102 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FANNIE MAE FNR 2012 102 HI |
d. CUSIP (if any). | 3136A8SR2 |
At least one of the following other identifiers: |
- ISIN | US3136A8SR21 |
Balance. (2) |
a. Balance | 303610.820000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 27708.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0047912 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-02-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 148 |
a. Name of issuer (if any). | FANNIE MAE REMICS 2012-138 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FANNIE MAE FNR 2012 138 QI |
d. CUSIP (if any). | 3136AAEQ4 |
At least one of the following other identifiers: |
- ISIN | US3136AAEQ45 |
Balance. (2) |
a. Balance | 847056.650000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 105605.090000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0182609 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-11-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 149 |
a. Name of issuer (if any). | FEDERAL HOME LOAN BANK (FLHB) |
b. LEI (if any) of issuer. (1) | 2549001DPIFGXC1TOL40 |
c. Title of the issue or description of the investment. | FEDERAL HOME LOAN BANK BONDS 05/23 VAR |
d. CUSIP (if any). | 3130AUHK3 |
At least one of the following other identifiers: |
- ISIN | US3130AUHK32 |
Balance. (2) |
a. Balance | 1780000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1779980.790000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3077893 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-09 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.86 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 150 |
a. Name of issuer (if any). | FEDERAL HOME LOAN BANK (FLHB) |
b. LEI (if any) of issuer. (1) | 2549001DPIFGXC1TOL40 |
c. Title of the issue or description of the investment. | FEDERAL HOME LOAN BANK BONDS 05/23 VAR |
d. CUSIP (if any). | 3130AUHT4 |
At least one of the following other identifiers: |
- ISIN | US3130AUHT41 |
Balance. (2) |
a. Balance | 1900000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1899980.750000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3285393 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-10 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.86 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 151 |
a. Name of issuer (if any). | FIRST HORIZON MTGE PASS-THRU TR 2005-AR5 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 1A1 |
d. CUSIP (if any). | 32051GXN0 |
At least one of the following other identifiers: |
- ISIN | US32051GXN05 |
Balance. (2) |
a. Balance | 150174.540000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 130632.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0225887 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-11-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.625 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 152 |
a. Name of issuer (if any). | FIRST HORIZON MTGE PT TR 2007-AR1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1 |
d. CUSIP (if any). | 32053EAA6 |
At least one of the following other identifiers: |
- ISIN | US32053EAA64 |
Balance. (2) |
a. Balance | 121833.070000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 51933.140000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0089801 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-05-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.67312 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 153 |
a. Name of issuer (if any). | NMG PARENT |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | NEIMAN MARCUS USD COMMON STOCK EQUITY |
d. CUSIP (if any). | 967DUC905 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | EQTY0NMG4 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 82915.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 12811501.200000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.2153286 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 154 |
a. Name of issuer (if any). | PROMOTORA DE INFORMACIONES SA (PRISA) |
b. LEI (if any) of issuer. (1) | 959800U3NGPXSCQHQW54 |
c. Title of the issue or description of the investment. | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1 |
d. CUSIP (if any). | BXC8GV902 |
At least one of the following other identifiers: |
- ISIN | ES0171743901 |
Balance. (2) |
a. Balance | 258261.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 101810.540000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0176048 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SPAIN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 155 |
a. Name of issuer (if any). | FORBES ENERGY SERVICES LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN |
d. CUSIP (if any). | 943UMZII5 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL0WJ922 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 4366.130000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 0.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0000000 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 11 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 156 |
a. Name of issuer (if any). | FORBES ENERGY SERVICES LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN |
d. CUSIP (if any). | 962XCSII2 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2335778 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 314841.280000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 0.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0000000 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.2961 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 157 |
a. Name of issuer (if any). | FORD MOTOR COMPANY |
b. LEI (if any) of issuer. (1) | 20S05OYHG0MQM4VUIC57 |
c. Title of the issue or description of the investment. | FORD MOTOR COMPANY SR UNSECURED 05/97 7.7 |
d. CUSIP (if any). | 345370BS8 |
At least one of the following other identifiers: |
- ISIN | US345370BS81 |
Balance. (2) |
a. Balance | 7390000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7298511.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2620381 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2097-05-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.7 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 158 |
a. Name of issuer (if any). | FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 D1 144A |
d. CUSIP (if any). | 35563CAH1 |
At least one of the following other identifiers: |
- ISIN | US35563CAH16 |
Balance. (2) |
a. Balance | 8135866.890000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4714519.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8152215 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2055-11-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.15595 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 159 |
a. Name of issuer (if any). | FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A |
d. CUSIP (if any). | 35563CAB4 |
At least one of the following other identifiers: |
- ISIN | US35563CAB46 |
Balance. (2) |
a. Balance | 33549024.090000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2215565.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3831094 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2055-11-25 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0.7 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 160 |
a. Name of issuer (if any). | FREDDIE MAC REMICS 4204 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIE MAC FHR 4204 YI |
d. CUSIP (if any). | 3137B1ZZ8 |
At least one of the following other identifiers: |
- ISIN | US3137B1ZZ82 |
Balance. (2) |
a. Balance | 793694.990000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 65639.290000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0113502 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 161 |
a. Name of issuer (if any). | FREDDIE MAC REMICS 4246 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIE MAC FHR 4246 NS |
d. CUSIP (if any). | 3137B4PM2 |
At least one of the following other identifiers: |
- ISIN | US3137B4PM29 |
Balance. (2) |
a. Balance | 776223.110000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 634363.450000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1096923 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-09-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 162 |
a. Name of issuer (if any). | FREDDIE MAC STACR REMIC TRUST 2021-DNA7 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIE MAC STACR STACR 2021 DNA7 B2 144A |
d. CUSIP (if any). | 35564KNE5 |
At least one of the following other identifiers: |
- ISIN | US35564KNE54 |
Balance. (2) |
a. Balance | 3800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3537766.180000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6117405 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2041-11-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 12.3598 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 163 |
a. Name of issuer (if any). | FREDDIE MAC STRIPS 304 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIEMAC STRIP FHS 304 C52 |
d. CUSIP (if any). | 31325UP91 |
At least one of the following other identifiers: |
- ISIN | US31325UP919 |
Balance. (2) |
a. Balance | 1108563.260000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 117062.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0202422 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-12-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 164 |
a. Name of issuer (if any). | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREDDIE MAC STACR STACR 2015 DNA2 B |
d. CUSIP (if any). | 3137G0FZ7 |
At least one of the following other identifiers: |
- ISIN | US3137G0FZ78 |
Balance. (2) |
a. Balance | 2653796.140000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2698153.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4665571 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-12-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 12.3953 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 165 |
a. Name of issuer (if any). | FREMONT HOME LOAN TRUST 2006-E |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3 |
d. CUSIP (if any). | 35729NAD7 |
At least one of the following other identifiers: |
- ISIN | US35729NAD75 |
Balance. (2) |
a. Balance | 11416213.100000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5282020.370000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9133521 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-01-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.99529 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 166 |
a. Name of issuer (if any). | GATEWAY CASINOS & ENTERTAINMENT LIMITED |
b. LEI (if any) of issuer. (1) | 549300JSKBQMMD1B3U44 |
c. Title of the issue or description of the investment. | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN |
d. CUSIP (if any). | 943ZHKII3 |
At least one of the following other identifiers: |
- ISIN | XAC3604MAQ50 |
Balance. (2) |
a. Balance | 3855399.540000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Canada Dollar
|
e. Value. (4) | 2827720.900000 |
f. Exchange rate. | 1.351500 |
g. Percentage value compared to net assets of the Fund. | 0.4889615 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-10-18 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 13.0725 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 167 |
a. Name of issuer (if any). | GATEWAY CASINOS & ENTERTAINMENT LIMITED |
b. LEI (if any) of issuer. (1) | 549300JSKBQMMD1B3U44 |
c. Title of the issue or description of the investment. | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN |
d. CUSIP (if any). | 943ZERII1 |
At least one of the following other identifiers: |
- ISIN | XAC3604MAR34 |
Balance. (2) |
a. Balance | 6726466.500000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6667609.920000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1529443 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-10-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 12.8035 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 168 |
a. Name of issuer (if any). | GHANA GOVT |
b. LEI (if any) of issuer. (1) | 213800PP4399SNNXZ126 |
c. Title of the issue or description of the investment. | REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375 |
d. CUSIP (if any). | 37443GAG6 |
At least one of the following other identifiers: |
- ISIN | US37443GAG64 |
Balance. (2) |
a. Balance | 500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 181475.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0313801 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GHANA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-11 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.375 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 169 |
a. Name of issuer (if any). | GHANA GOVT |
b. LEI (if any) of issuer. (1) | 213800PP4399SNNXZ126 |
c. Title of the issue or description of the investment. | REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875 |
d. CUSIP (if any). | 37443GAH4 |
At least one of the following other identifiers: |
- ISIN | US37443GAH48 |
Balance. (2) |
a. Balance | 600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 210930.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0364734 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GHANA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-11 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.875 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 170 |
a. Name of issuer (if any). | GHANA GOVT |
b. LEI (if any) of issuer. (1) | 213800PP4399SNNXZ126 |
c. Title of the issue or description of the investment. | REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75 |
d. CUSIP (if any). | 37443GAJ0 |
At least one of the following other identifiers: |
- ISIN | US37443GAJ04 |
Balance. (2) |
a. Balance | 200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 68000.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0117584 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GHANA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2061-03-11 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 171 |
a. Name of issuer (if any). | AXIS ENERGY SERVICES HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES |
d. CUSIP (if any). | 942WZK900 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | EQTY009T1 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 2048.360000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 67722.900000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0117105 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 172 |
a. Name of issuer (if any). | STICHTING AK RABOBANK CERTIFICATEN |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR |
d. CUSIP (if any). | BJBQCWII7 |
At least one of the following other identifiers: |
- ISIN | XS1002121454 |
Balance. (2) |
a. Balance | 12110000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 12681308.120000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 2.1928160 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 173 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR |
d. CUSIP (if any). | 78486QAJ0 |
At least one of the following other identifiers: |
- ISIN | US78486QAJ04 |
Balance. (2) |
a. Balance | 200000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 13330.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0023050 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 174 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR |
d. CUSIP (if any). | 78486QAP6 |
At least one of the following other identifiers: |
- ISIN | US78486QAP63 |
Balance. (2) |
a. Balance | 100000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6623.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0011452 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 175 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | US78486QAQ47 |
Balance. (2) |
a. Balance | 178000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11808.520000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0020419 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 176 |
a. Name of issuer (if any). | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 BI |
d. CUSIP (if any). | 38378HR99 |
At least one of the following other identifiers: |
- ISIN | US38378HR997 |
Balance. (2) |
a. Balance | 106541.660000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9035.480000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0015624 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-10-20 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 177 |
a. Name of issuer (if any). | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 CI |
d. CUSIP (if any). | 38378HU95 |
At least one of the following other identifiers: |
- ISIN | US38378HU959 |
Balance. (2) |
a. Balance | 37478.050000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3547.650000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0006134 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-10-20 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 178 |
a. Name of issuer (if any). | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 KI |
d. CUSIP (if any). | 38378HT55 |
At least one of the following other identifiers: |
- ISIN | US38378HT555 |
Balance. (2) |
a. Balance | 114040.860000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 13370.980000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0023121 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-10-16 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 179 |
a. Name of issuer (if any). | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI |
d. CUSIP (if any). | 38378HFV3 |
At least one of the following other identifiers: |
- ISIN | US38378HFV33 |
Balance. (2) |
a. Balance | 71925.080000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11223.410000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0019407 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-06-20 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 180 |
a. Name of issuer (if any). | SYNIVERSE CORPORATION |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SYNIVERSE PFD PIK PFDJJZ917 |
d. CUSIP (if any). | 936UVD902 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | PFDJJZ917 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 2129108.780000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2006297.530000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3469233 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 181 |
a. Name of issuer (if any). | BANCA MONTE DEI PASCHI DI SIENA SPA |
b. LEI (if any) of issuer. (1) | J4CP7MHCXR8DAQMKIL78 |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI SIENA COMMON STOCK |
d. CUSIP (if any). | ACI28SXK1 |
At least one of the following other identifiers: |
- ISIN | IT0005508921 |
Balance. (2) |
a. Balance | 1043000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2268488.010000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.3922605 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 182 |
a. Name of issuer (if any). | GROSVENOR PLACE CLO BV 2015-1A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GROSVENOR PLACE CLO BV GROSV 2015 1A SUB 144A |
d. CUSIP (if any). | 39927WAV9 |
At least one of the following other identifiers: |
- ISIN | US39927WAV90 |
Balance. (2) |
a. Balance | 500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 176084.350000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0304480 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-04-30 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 183 |
a. Name of issuer (if any). | GS MORTGAGE SECURITIES CORP II 2022-GTWY |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A |
d. CUSIP (if any). | 36266DAA2 |
At least one of the following other identifiers: |
- ISIN | US36266DAA28 |
Balance. (2) |
a. Balance | 1100000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1095291.340000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1893947 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-08-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.228 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 184 |
a. Name of issuer (if any). | GSPA MONETIZATION TRUST |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422 |
d. CUSIP (if any). | 36298GAA7 |
At least one of the following other identifiers: |
- ISIN | US36298GAA76 |
Balance. (2) |
a. Balance | 2587071.400000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2518999.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4355784 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-10-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.422 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 185 |
a. Name of issuer (if any). | HCA INC |
b. LEI (if any) of issuer. (1) | L3CJ6J7LJ2DX62FTXD46 |
c. Title of the issue or description of the investment. | HCA INC COMPANY GUAR 11/95 7.5 |
d. CUSIP (if any). | 197677AH0 |
At least one of the following other identifiers: |
- ISIN | US197677AH07 |
Balance. (2) |
a. Balance | 1200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1318143.610000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2279297 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2095-11-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 186 |
a. Name of issuer (if any). | HESTIA RE LTD |
b. LEI (if any) of issuer. (1) | 549300QRKQ1ZKOXEMZ38 |
c. Title of the issue or description of the investment. | HESTIA RE LTD UNSECURED 144A 04/25 VAR |
d. CUSIP (if any). | 42815KAA0 |
At least one of the following other identifiers: |
- ISIN | US42815KAA07 |
Balance. (2) |
a. Balance | 704000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 580800.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1004303 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-04-22 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 187 |
a. Name of issuer (if any). | HSBC HOLDINGS PLC |
b. LEI (if any) of issuer. (1) | MLU0ZO3ML4LN2LL2TL39 |
c. Title of the issue or description of the investment. | HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR |
d. CUSIP (if any). | 404280DV8 |
At least one of the following other identifiers: |
- ISIN | US404280DV88 |
Balance. (2) |
a. Balance | 400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 418524.480000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0723701 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2034-03-09 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.254 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 188 |
a. Name of issuer (if any). | UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC) |
b. LEI (if any) of issuer. (1) | 549300V3NU625PJUVA84 |
c. Title of the issue or description of the investment. | UNITI GROUP INC REIT USD.0001 |
d. CUSIP (if any). | 91325V108 |
At least one of the following other identifiers: |
- ISIN | US91325V1089 |
Balance. (2) |
a. Balance | 203351.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 721896.050000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1248282 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 189 |
a. Name of issuer (if any). | INDYMAC IMSC MTGE LN TRUST 2007-F2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F2 2A1 |
d. CUSIP (if any). | 45670JAE2 |
At least one of the following other identifiers: |
- ISIN | US45670JAE29 |
Balance. (2) |
a. Balance | 3443119.620000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1147079.090000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1983497 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 190 |
a. Name of issuer (if any). | INDYMAC RESIDENTIAL ASSET BACKED 2007-B |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2 |
d. CUSIP (if any). | 43710EAD2 |
At least one of the following other identifiers: |
- ISIN | US43710EAD22 |
Balance. (2) |
a. Balance | 2376886.630000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1267022.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2190899 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.00529 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 191 |
a. Name of issuer (if any). | INGENICO TERMINALS (POSEIDON BIDCO) |
b. LEI (if any) of issuer. (1) | 254900LGX7YG7Y9YM766 |
c. Title of the issue or description of the investment. | POSEIDON BIDCO SASU EUR TERM LOAN B |
d. CUSIP (if any). | 945BRXII5 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3971860 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 6699999.990000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 7048164.800000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 1.2187488 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-07-14 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.265 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 192 |
a. Name of issuer (if any). | INTELSAT JACKSON HOLDINGS SA |
b. LEI (if any) of issuer. (1) | 8XJ8KF85PBKK1TLMFN29 |
c. Title of the issue or description of the investment. | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5 |
d. CUSIP (if any). | 45824TBC8 |
At least one of the following other identifiers: |
- ISIN | US45824TBC80 |
Balance. (2) |
a. Balance | 17148000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 15762956.040000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.7256859 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-03-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 193 |
a. Name of issuer (if any). | INTELSAT JACKSON HOLDINGS SA |
b. LEI (if any) of issuer. (1) | 8XJ8KF85PBKK1TLMFN29 |
c. Title of the issue or description of the investment. | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B |
d. CUSIP (if any). | L5137LAQ8 |
At least one of the following other identifiers: |
- ISIN | XAL5137LAQ85 |
Balance. (2) |
a. Balance | 4302945.890000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4267080.840000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7378516 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-02-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.0816 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 194 |
a. Name of issuer (if any). | INTER MEDIA AND COMMUNICATION SPA |
b. LEI (if any) of issuer. (1) | 81560082CE2ED97AFD36 |
c. Title of the issue or description of the investment. | INTER MEDIA COMMUNICATIO SR SECURED REGS 02/27 6.75 |
d. CUSIP (if any). | ACI239FN2 |
At least one of the following other identifiers: |
- ISIN | XS2439248472 |
Balance. (2) |
a. Balance | 3000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 3055036.200000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.5282682 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 195 |
a. Name of issuer (if any). | INTRADO SAFETY (GUARDIAN US HOLDCO LLC) |
b. LEI (if any) of issuer. (1) | 254900OSYC6XQ21DY128 |
c. Title of the issue or description of the investment. | INTRADO CORPORATION 2023 TERM LOAN B |
d. CUSIP (if any). | 40147EAB5 |
At least one of the following other identifiers: |
- ISIN | US40147EAB56 |
Balance. (2) |
a. Balance | 900000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 889312.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1537774 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-01-31 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.676 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 196 |
a. Name of issuer (if any). | IVANTI SOFTWARE INC |
b. LEI (if any) of issuer. (1) | 254900GHAXAYKWDX9F60 |
c. Title of the issue or description of the investment. | IVANTI SOFTWARE, INC. 2021 TERM LOAN B |
d. CUSIP (if any). | 46583DAG4 |
At least one of the following other identifiers: |
- ISIN | US46583DAG43 |
Balance. (2) |
a. Balance | 11188874.690000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9227856.570000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.5956549 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-12-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.2124 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 197 |
a. Name of issuer (if any). | VICI PROPERTIES INC |
b. LEI (if any) of issuer. (1) | 254900RKH6RY9KCJQH63 |
c. Title of the issue or description of the investment. | VICI PROPERTIES INC REIT USD.01 |
d. CUSIP (if any). | 925652109 |
At least one of the following other identifiers: |
- ISIN | US9256521090 |
Balance. (2) |
a. Balance | 89142.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2907812.040000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5028107 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 198 |
a. Name of issuer (if any). | JACKSON PARK TRUST 2019-LIC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JACKSON PARK TRUST JAX 2019 LIC E 144A |
d. CUSIP (if any). | 46868RAN4 |
At least one of the following other identifiers: |
- ISIN | US46868RAN44 |
Balance. (2) |
a. Balance | 1816000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1377108.030000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2381256 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-10-14 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 3.2424 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 199 |
a. Name of issuer (if any). | JP MORGAN ALTERNATIVE LN TRUST 2006-A1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A1 4A1 |
d. CUSIP (if any). | 46627MDA2 |
At least one of the following other identifiers: |
- ISIN | US46627MDA27 |
Balance. (2) |
a. Balance | 780873.960000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 636476.150000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1100577 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-03-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.85242 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 200 |
a. Name of issuer (if any). | JP MORGAN ALTERNATIVE LN TRUST 2006-A2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1 |
d. CUSIP (if any). | 46628GAL3 |
At least one of the following other identifiers: |
- ISIN | US46628GAL32 |
Balance. (2) |
a. Balance | 801990.160000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 456411.880000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0789215 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-05-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.23091 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 201 |
a. Name of issuer (if any). | VOYAGER AVIATION HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | 549300KHOKL1CX4NIJ92 |
c. Title of the issue or description of the investment. | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9 |
d. CUSIP (if any). | 942UCF009 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 92918X9D9 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1154.830000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 0.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0000000 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 202 |
a. Name of issuer (if any). | JP MORGAN ALTERNATIVE LN TRUST 2007-A1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 3A1 |
d. CUSIP (if any). | 466287AR0 |
At least one of the following other identifiers: |
- ISIN | US466287AR06 |
Balance. (2) |
a. Balance | 487183.950000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 429523.150000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0742719 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-03-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.8539 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 203 |
a. Name of issuer (if any). | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A |
d. CUSIP (if any). | 46649JAQ1 |
At least one of the following other identifiers: |
- ISIN | US46649JAQ13 |
Balance. (2) |
a. Balance | 3755696.210000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3516679.200000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6080942 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.934 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 204 |
a. Name of issuer (if any). | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A |
d. CUSIP (if any). | 46645WAC7 |
At least one of the following other identifiers: |
- ISIN | US46645WAC73 |
Balance. (2) |
a. Balance | 2275000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2004843.750000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3466719 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-07-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.20143 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 205 |
a. Name of issuer (if any). | JP MORGAN MORTGAGE TRUST 2006-A1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2 |
d. CUSIP (if any). | 466247F57 |
At least one of the following other identifiers: |
- ISIN | US466247F570 |
Balance. (2) |
a. Balance | 152598.760000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 111758.340000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0193249 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-02-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.91525 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 206 |
a. Name of issuer (if any). | JP MORGAN MORTGAGE TRUST-2005-S2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A16 |
d. CUSIP (if any). | 466247VJ9 |
At least one of the following other identifiers: |
- ISIN | US466247VJ91 |
Balance. (2) |
a. Balance | 32521.980000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 23791.030000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0041139 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-09-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 207 |
a. Name of issuer (if any). | JP MORGAN MTGE TRUST 2005-A7 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1 |
d. CUSIP (if any). | 466247WT6 |
At least one of the following other identifiers: |
- ISIN | US466247WT64 |
Balance. (2) |
a. Balance | 56005.580000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 51853.040000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0089663 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-10-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.214 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 208 |
a. Name of issuer (if any). | WESTMORELAND MINING HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WESTMORELAND MINING HOLDINGS L COMMON |
d. CUSIP (if any). | 935ZXN908 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | EQTY03452 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 53248.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 159744.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0276225 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 209 |
a. Name of issuer (if any). | KKR CLO 30 LTD 30A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | KKR FINANCIAL CLO LTD KKR 30A SUB 144A |
d. CUSIP (if any). | 48251XAC6 |
At least one of the following other identifiers: |
- ISIN | US48251XAC65 |
Balance. (2) |
a. Balance | 3000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1849104.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3197418 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-10-17 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 210 |
a. Name of issuer (if any). | LEALAND FINANCE COMPANY BV |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL |
d. CUSIP (if any). | N5200EAC5 |
At least one of the following other identifiers: |
- ISIN | XAN5200EAC56 |
Balance. (2) |
a. Balance | 87712.670000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 64688.090000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0111857 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-06-28 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.8403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 211 |
a. Name of issuer (if any). | LEALAND FINANCE COMPANY BV |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL |
d. CUSIP (if any). | N5200EAB7 |
At least one of the following other identifiers: |
- ISIN | XAN5200EAB73 |
Balance. (2) |
a. Balance | 809826.490000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 546292.750000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0944634 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.8403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 212 |
a. Name of issuer (if any). | LEHMAN MORTGAGE TRUST 2007-6 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LEHMAN MORTGAGE TRUST LMT 2007 6 1A11 |
d. CUSIP (if any). | 52521NAJ9 |
At least one of the following other identifiers: |
- ISIN | US52521NAJ90 |
Balance. (2) |
a. Balance | 244488.880000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 220957.530000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0382074 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 213 |
a. Name of issuer (if any). | LEHMAN MORTGAGE TRUST 2007-8 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LEHMAN MORTGAGE TRUST LMT 2007 8 2A1 |
d. CUSIP (if any). | 52521YAC0 |
At least one of the following other identifiers: |
- ISIN | US52521YAC03 |
Balance. (2) |
a. Balance | 1751073.930000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 632907.990000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1094407 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-09-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 214 |
a. Name of issuer (if any). | LEHMAN XS TRUST 2006-11 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LEHMAN XS TRUST LXS 2006 11 2A2 |
d. CUSIP (if any). | 52522WAF6 |
At least one of the following other identifiers: |
- ISIN | US52522WAF68 |
Balance. (2) |
a. Balance | 162953.530000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 190485.570000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0329382 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-06-24 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 6.79 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 215 |
a. Name of issuer (if any). | LEHMAN XS TRUST 2007-7N |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LEHMAN XS TRUST LXS 2007 7N 1A1A |
d. CUSIP (if any). | 52524GAA0 |
At least one of the following other identifiers: |
- ISIN | US52524GAA04 |
Balance. (2) |
a. Balance | 925696.820000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 808057.790000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1397271 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2047-06-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.28529 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 216 |
a. Name of issuer (if any). | MAGNETITE VII LTD 2012-7A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MAGNETITE CLO LTD MAGNE 2012 7A SUB 144A |
d. CUSIP (if any). | 55952XAC3 |
At least one of the following other identifiers: |
- ISIN | US55952XAC39 |
Balance. (2) |
a. Balance | 5650000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1822953.970000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3152201 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-15 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 217 |
a. Name of issuer (if any). | MARLETTE FUNDING TRUST 2019-3 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A |
d. CUSIP (if any). | 57109M101 |
At least one of the following other identifiers: |
- ISIN | US57109M1018 |
Balance. (2) |
a. Balance | 7112.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 582688.340000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1007568 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-09-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 218 |
a. Name of issuer (if any). | MARLETTE FUNDING TRUST 2020-1A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A |
d. CUSIP (if any). | 57109J108 |
At least one of the following other identifiers: |
- ISIN | US57109J1088 |
Balance. (2) |
a. Balance | 5733.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 196469.830000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0339730 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-03-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 219 |
a. Name of issuer (if any). | MASTR ASSET SECURITIZATION TR 2007-1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MASTR ASSET SECURITIZATION TRU MASTR 2007 1 1A4 |
d. CUSIP (if any). | 55292AAD0 |
At least one of the following other identifiers: |
- ISIN | US55292AAD00 |
Balance. (2) |
a. Balance | 325750.350000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 86300.230000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0149228 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-11-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 220 |
a. Name of issuer (if any). | MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C |
d. CUSIP (if any). | 59021AAC2 |
At least one of the following other identifiers: |
- ISIN | US59021AAC27 |
Balance. (2) |
a. Balance | 374297.450000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 188231.230000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0325484 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-04-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.16529 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 221 |
a. Name of issuer (if any). | MERRILL LYNCH MTGE INVESTORS 2006-A1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1 |
d. CUSIP (if any). | 59020U5W1 |
At least one of the following other identifiers: |
- ISIN | US59020U5W12 |
Balance. (2) |
a. Balance | 1059405.800000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 589181.010000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1018795 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-03-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.74342 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 222 |
a. Name of issuer (if any). | MORGAN STANLEY CAPITAL I TRUST 2017-ASHF |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A |
d. CUSIP (if any). | 61691KAQ4 |
At least one of the following other identifiers: |
- ISIN | US61691KAQ40 |
Balance. (2) |
a. Balance | 2400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2277751.920000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3938624 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2034-11-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.159 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 223 |
a. Name of issuer (if any). | MORGAN STANLEY MTGE LN TR 2007-10XS |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A2 |
d. CUSIP (if any). | 61751MAC8 |
At least one of the following other identifiers: |
- ISIN | US61751MAC82 |
Balance. (2) |
a. Balance | 402178.590000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 191778.700000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0331618 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-02-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 224 |
a. Name of issuer (if any). | MORRISON (MARKET BIDCO FINCO PLC) |
b. LEI (if any) of issuer. (1) | 549300UGYX6EBVHRVG53 |
c. Title of the issue or description of the investment. | MARKET BIDCO FINCO PLC SR SECURED REGS 11/27 4.75 |
d. CUSIP (if any). | ACI261WK3 |
At least one of the following other identifiers: |
- ISIN | XS2470988523 |
Balance. (2) |
a. Balance | 800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 675148.030000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.1167447 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-11-04 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 225 |
a. Name of issuer (if any). | MORRISON (MARKET BIDCO LIMITED) |
b. LEI (if any) of issuer. (1) | 549300RKU7UEPSC42U63 |
c. Title of the issue or description of the investment. | WM MORRISON GBP TERM LOAN A |
d. CUSIP (if any). | 948DUDII8 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL4100543 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 7271000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 7956664.500000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 1.3758440 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-11-04 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.4273 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 226 |
a. Name of issuer (if any). | MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC) |
b. LEI (if any) of issuer. (1) | 5493002WXOPRPTXWTU06 |
c. Title of the issue or description of the investment. | MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B |
d. CUSIP (if any). | 55328HAK7 |
At least one of the following other identifiers: |
- ISIN | US55328HAK77 |
Balance. (2) |
a. Balance | 6895000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5925425.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.0246078 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-09-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.2034 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 227 |
a. Name of issuer (if any). | ADAGIO VI CLO DAC VI-A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ADAGIO CLO ADAGI VI A SUB 144A |
d. CUSIP (if any). | ACI0YQYN3 |
At least one of the following other identifiers: |
- ISIN | XS1710468239 |
Balance. (2) |
a. Balance | 1800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 568976.620000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0983858 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-04-30 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 228 |
a. Name of issuer (if any). | NEW ALBERTSONS LP |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | NEW ALBERTSONS LP SR UNSECURED 02/28 6.57 |
d. CUSIP (if any). | 01310QCW3 |
At least one of the following other identifiers: |
- ISIN | US01310QCW33 |
Balance. (2) |
a. Balance | 6800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6818632.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1790586 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-23 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.57 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 229 |
a. Name of issuer (if any). | NGD HOLDINGS BV |
b. LEI (if any) of issuer. (1) | 984500ED2ABF0UF46690 |
c. Title of the issue or description of the investment. | NGD HOLDINGS BV SR SECURED 12/26 6.75 |
d. CUSIP (if any). | ACI1XVPP6 |
At least one of the following other identifiers: |
- ISIN | XS2342932576 |
Balance. (2) |
a. Balance | 395991.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 257394.150000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0445079 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-31 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 230 |
a. Name of issuer (if any). | NISSAN MOTOR CO LTD |
b. LEI (if any) of issuer. (1) | 353800DRBDH1LUTNAY26 |
c. Title of the issue or description of the investment. | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81 |
d. CUSIP (if any). | 654744AD3 |
At least one of the following other identifiers: |
- ISIN | US654744AD34 |
Balance. (2) |
a. Balance | 10500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9514828.160000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.6452772 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
JAPAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-09-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.81 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 231 |
a. Name of issuer (if any). | NOBLE FINANCE COMPANY |
b. LEI (if any) of issuer. (1) | 5493003DTPH8AMMK4P51 |
c. Title of the issue or description of the investment. | NOBLE FINANCE CO SECURED 02/28 11 |
d. CUSIP (if any). | 65505JAC5 |
At least one of the following other identifiers: |
- ISIN | US65505JAC53 |
Balance. (2) |
a. Balance | 29827.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 32809.700000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0056734 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 11 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 232 |
a. Name of issuer (if any). | NOBLE FINANCE COMPANY |
b. LEI (if any) of issuer. (1) | 5493003DTPH8AMMK4P51 |
c. Title of the issue or description of the investment. | NOBLE FINANCE CO SECURED 144A 02/28 11 |
d. CUSIP (if any). | 65505JAA9 |
At least one of the following other identifiers: |
- ISIN | US65505JAA97 |
Balance. (2) |
a. Balance | 1357573.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1493330.310000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2582225 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 11 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 233 |
a. Name of issuer (if any). | NOMURA ASSET ACCEPTANCE CORP 2005-AP2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5 |
d. CUSIP (if any). | 65535VLL0 |
At least one of the following other identifiers: |
- ISIN | US65535VLL08 |
Balance. (2) |
a. Balance | 6733.030000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3547.680000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0006135 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-05-25 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 5.476 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 234 |
a. Name of issuer (if any). | NORTHWESTERN BELL TELEPHONE |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | NORTHWESTERN BELL TELEPH SR UNSECURED 05/30 7.75 |
d. CUSIP (if any). | 668027AT2 |
At least one of the following other identifiers: |
- ISIN | US668027AT26 |
Balance. (2) |
a. Balance | 12625000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9731973.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.6828254 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-05-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 235 |
a. Name of issuer (if any). | ODEBRECHT DRILLING NORBE VIII/IX LTD |
b. LEI (if any) of issuer. (1) | 549300YNW6BY570L6488 |
c. Title of the issue or description of the investment. | ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35 |
d. CUSIP (if any). | G67106AC1 |
At least one of the following other identifiers: |
- ISIN | USG67106AC18 |
Balance. (2) |
a. Balance | 258352.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 143643.710000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0248385 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.35 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 236 |
a. Name of issuer (if any). | ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED |
b. LEI (if any) of issuer. (1) | 549300L7LF2PIRAWID66 |
c. Title of the issue or description of the investment. | ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72 |
d. CUSIP (if any). | G6711KAD7 |
At least one of the following other identifiers: |
- ISIN | USG6711KAD75 |
Balance. (2) |
a. Balance | 8607496.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1979724.080000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3423283 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.72 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 237 |
a. Name of issuer (if any). | ODEBRECHT OIL & GAS FINANCE LIMITED |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000 |
d. CUSIP (if any). | 67576JAB7 |
At least one of the following other identifiers: |
- ISIN | US67576JAB70 |
Balance. (2) |
a. Balance | 700265.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 700.270000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0001211 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-09 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 238 |
a. Name of issuer (if any). | ODEBRECHT OIL & GAS FINANCE LIMITED |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USG6712EAB41 |
Balance. (2) |
a. Balance | 401060.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 401.060000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0000694 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-09 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 239 |
a. Name of issuer (if any). | OGF (OBOL FRANCE 3) |
b. LEI (if any) of issuer. (1) | 969500HSJVVYGU57VS68 |
c. Title of the issue or description of the investment. | OBOL FRANCE 3 SAS 2021 EUR TERM LOAN B2 |
d. CUSIP (if any). | 941DDXII0 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3809813 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 5900000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 5833333.510000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 1.0086836 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-12-31 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.323 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 240 |
a. Name of issuer (if any). | OHIO STATE UNIVERSITY |
b. LEI (if any) of issuer. (1) | JFC10ZULKO4X2E3HBY86 |
c. Title of the issue or description of the investment. | OHIO ST UNIV OHSHGR 06/11 FIXED OID 4.8 |
d. CUSIP (if any). | 677632PA3 |
At least one of the following other identifiers: |
- ISIN | US677632PA36 |
Balance. (2) |
a. Balance | 6000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5541958.200000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9582998 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2111-06-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.8 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 241 |
a. Name of issuer (if any). | OI S.A. - EM RECUPERAxc7xc3O JUDICIAL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OI SA TERM LOAN 1 |
d. CUSIP (if any). | 938VGYII0 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL005463 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 3415491.080000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 267932.190000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0463301 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 242 |
a. Name of issuer (if any). | OI S.A. - EM RECUPERAxc7xc3O JUDICIAL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OI SA TERM LOAN 2 |
d. CUSIP (if any). | 938XAMII8 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL005521 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 790548.260000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 62015.480000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0107235 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 243 |
a. Name of issuer (if any). | OI SA (AKA: BRASIL TELECOM S/A) |
b. LEI (if any) of issuer. (1) | 254900YEMWCRRAGD4978 |
c. Title of the issue or description of the investment. | OI SA COMPANY GUAR 07/25 VAR |
d. CUSIP (if any). | P7354PAA2 |
At least one of the following other identifiers: |
- ISIN | USP7354PAA23 |
Balance. (2) |
a. Balance | 26307000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2063683.390000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3568463 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-07-27 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 244 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75 |
d. CUSIP (if any). | 694308HH3 |
At least one of the following other identifiers: |
- ISIN | US694308HH37 |
Balance. (2) |
a. Balance | 4092000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3291101.360000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5690880 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2044-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 245 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2 |
d. CUSIP (if any). | 694308KB2 |
At least one of the following other identifiers: |
- ISIN | US694308KB20 |
Balance. (2) |
a. Balance | 1800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1648011.110000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2849694 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.2 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 246 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3 |
d. CUSIP (if any). | 694308HL4 |
At least one of the following other identifiers: |
- ISIN | US694308HL49 |
Balance. (2) |
a. Balance | 27000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 20360.920000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0035208 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2045-03-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.3 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 247 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45 |
d. CUSIP (if any). | 694308GZ4 |
At least one of the following other identifiers: |
- ISIN | US694308GZ44 |
Balance. (2) |
a. Balance | 535000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 420659.770000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0727393 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-04-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.45 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 248 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95 |
d. CUSIP (if any). | 694308JN8 |
At least one of the following other identifiers: |
- ISIN | US694308JN86 |
Balance. (2) |
a. Balance | 4327500.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3573341.640000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6178922 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2050-07-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.95 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 249 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75 |
d. CUSIP (if any). | 694308HA8 |
At least one of the following other identifiers: |
- ISIN | US694308HA83 |
Balance. (2) |
a. Balance | 22000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 15655.770000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0027072 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-08-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 250 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5 |
d. CUSIP (if any). | 694308GY7 |
At least one of the following other identifiers: |
- ISIN | US694308GY78 |
Balance. (2) |
a. Balance | 22000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 17443.990000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0030164 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2041-12-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 251 |
a. Name of issuer (if any). | PACIFIC GAS AND ELECTRIC COMPANY |
b. LEI (if any) of issuer. (1) | 1HNPXZSMMB7HMBMVBS46 |
c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4 |
d. CUSIP (if any). | 694308HR1 |
At least one of the following other identifiers: |
- ISIN | US694308HR19 |
Balance. (2) |
a. Balance | 8000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5664.060000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0009794 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-12-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 252 |
a. Name of issuer (if any). | PERU LNG SRL |
b. LEI (if any) of issuer. (1) | 254900F70J1LOALV5K70 |
c. Title of the issue or description of the investment. | PERU LNG SRL SR UNSECURED REGS 03/30 5.375 |
d. CUSIP (if any). | P7721BAE1 |
At least one of the following other identifiers: |
- ISIN | USP7721BAE13 |
Balance. (2) |
a. Balance | 7840000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6271696.830000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.0844841 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-03-22 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.375 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 253 |
a. Name of issuer (if any). | PRIME HEALTHCARE SERVICES INC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25 |
d. CUSIP (if any). | 74165HAB4 |
At least one of the following other identifiers: |
- ISIN | US74165HAB42 |
Balance. (2) |
a. Balance | 9925000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 8790863.400000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.5200913 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-11-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 254 |
a. Name of issuer (if any). | PROFRAC HOLDINGS II LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | PROFRAC SERVICES LLC 2022 TERM LOAN |
d. CUSIP (if any). | 945AEHII6 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3873504 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 7451950.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7414690.250000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2821273 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-03-04 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 12.4046 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 255 |
a. Name of issuer (if any). | PROMOTORA DE INFORMACIONES SA (PRISA) |
b. LEI (if any) of issuer. (1) | 959800U3NGPXSCQHQW54 |
c. Title of the issue or description of the investment. | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN |
d. CUSIP (if any). | 945BECII5 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3909589 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 679852.290000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 673397.970000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.1164421 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SPAIN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.305 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 256 |
a. Name of issuer (if any). | PROMOTORA DE INFORMACIONES SA (PRISA) |
b. LEI (if any) of issuer. (1) | 959800U3NGPXSCQHQW54 |
c. Title of the issue or description of the investment. | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN |
d. CUSIP (if any). | 945BEBII7 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3913649 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 16447123.070000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 16573515.360000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 2.8658455 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SPAIN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-31 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.555 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 257 |
a. Name of issuer (if any). | PROVINCE OF BUENOS AIRES ARGENTINA |
b. LEI (if any) of issuer. (1) | 549300L6AYROPOTQ4L07 |
c. Title of the issue or description of the investment. | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR |
d. CUSIP (if any). | ACI11ZNP4 |
At least one of the following other identifiers: |
- ISIN | ARPBUE3205N8 |
Balance. (2) |
a. Balance | 8450000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Argentina Peso
|
e. Value. (4) | 21459.220000 |
f. Exchange rate. | 410.840000 |
g. Percentage value compared to net assets of the Fund. | 0.0037107 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-04-12 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 73.6698 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 258 |
a. Name of issuer (if any). | PROVINCE OF BUENOS AIRES ARGENTINA |
b. LEI (if any) of issuer. (1) | 549300L6AYROPOTQ4L07 |
c. Title of the issue or description of the investment. | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR |
d. CUSIP (if any). | P1910WRC5 |
At least one of the following other identifiers: |
- ISIN | ARPBUE3205N8 |
Balance. (2) |
a. Balance | 354562000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Argentina Peso
|
e. Value. (4) | 900429.030000 |
f. Exchange rate. | 410.840000 |
g. Percentage value compared to net assets of the Fund. | 0.1556996 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-04-12 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 73.6698 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 259 |
a. Name of issuer (if any). | PSAV (AVSC HOLDING CORP) |
b. LEI (if any) of issuer. (1) | 549300CLJBQ9YSR4U689 |
c. Title of the issue or description of the investment. | AVSC HOLDING CORP 2020 TERM LOAN B1 |
d. CUSIP (if any). | 00241YAT1 |
At least one of the following other identifiers: |
- ISIN | US00241YAT10 |
Balance. (2) |
a. Balance | 5000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4822825.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8339493 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-03-03 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 260 |
a. Name of issuer (if any). | PUERTO RICO GOVT |
b. LEI (if any) of issuer. (1) | 549300X44HXPLJU48U63 |
c. Title of the issue or description of the investment. | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR |
d. CUSIP (if any). | 74514L3T2 |
At least one of the following other identifiers: |
- ISIN | US74514L3T29 |
Balance. (2) |
a. Balance | 613685.320000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 267720.220000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0462934 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
PUERTO RICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2043-11-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 261 |
a. Name of issuer (if any). | PUERTO RICO GOVT |
b. LEI (if any) of issuer. (1) | 549300X44HXPLJU48U63 |
c. Title of the issue or description of the investment. | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR |
d. CUSIP (if any). | 74514L4C8 |
At least one of the following other identifiers: |
- ISIN | US74514L4C84 |
Balance. (2) |
a. Balance | 12192000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5303520.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9170697 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
PUERTO RICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2051-11-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 262 |
a. Name of issuer (if any). | PUERTO RICO GOVT |
b. LEI (if any) of issuer. (1) | 549300X44HXPLJU48U63 |
c. Title of the issue or description of the investment. | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR |
d. CUSIP (if any). | 74514L4G9 |
At least one of the following other identifiers: |
- ISIN | US74514L4G98 |
Balance. (2) |
a. Balance | 6327916.270000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2135671.740000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3692943 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
PUERTO RICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2051-11-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 263 |
a. Name of issuer (if any). | RESIDENTIAL ACCREDIT LOANS 2004-QA6 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 CB1 |
d. CUSIP (if any). | 76110HG94 |
At least one of the following other identifiers: |
- ISIN | US76110HG941 |
Balance. (2) |
a. Balance | 489094.090000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 184081.170000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0318308 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2034-12-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.55461 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 264 |
a. Name of issuer (if any). | RESIDENTIAL ACCREDIT LOANS INC 2006-QS10 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A15 |
d. CUSIP (if any). | 751155AQ5 |
At least one of the following other identifiers: |
- ISIN | US751155AQ50 |
Balance. (2) |
a. Balance | 147464.090000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 120940.480000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0209127 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 265 |
a. Name of issuer (if any). | RESIDENTIAL ASSET SEC TRUST 2007-A9 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5 |
d. CUSIP (if any). | 761143AE6 |
At least one of the following other identifiers: |
- ISIN | US761143AE66 |
Balance. (2) |
a. Balance | 2477417.490000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1037800.590000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1794535 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-09-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 266 |
a. Name of issuer (if any). | RESIDENTIAL ASSET SECUR TR 2007-A7 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A1 |
d. CUSIP (if any). | 76114QAA3 |
At least one of the following other identifiers: |
- ISIN | US76114QAA31 |
Balance. (2) |
a. Balance | 1316585.730000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 506837.710000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0876409 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 267 |
a. Name of issuer (if any). | RESIDENTIAL ASSET SECUR TRUST 2005-A15 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A2 |
d. CUSIP (if any). | 45660L4H9 |
At least one of the following other identifiers: |
- ISIN | US45660L4H94 |
Balance. (2) |
a. Balance | 774897.480000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 315519.420000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0545587 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-02-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 268 |
a. Name of issuer (if any). | RESIDENTIAL FUNDING MTG SEC I 2006-SA2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA2 3A1 |
d. CUSIP (if any). | 749574AE9 |
At least one of the following other identifiers: |
- ISIN | US749574AE93 |
Balance. (2) |
a. Balance | 21075.010000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 19621.420000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0033929 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.14277 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 269 |
a. Name of issuer (if any). | RESIDENTIAL FUNDING MTGE SEC 2005-SA4 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A31 |
d. CUSIP (if any). | 76111XYF4 |
At least one of the following other identifiers: |
- ISIN | US76111XYF40 |
Balance. (2) |
a. Balance | 439320.970000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 287077.490000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0496406 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-09-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.71211 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 270 |
a. Name of issuer (if any). | ALTICE FINANCING SA |
b. LEI (if any) of issuer. (1) | 549300DIYGW8HVDF7Q17 |
c. Title of the issue or description of the investment. | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75 |
d. CUSIP (if any). | 02154CAH6 |
At least one of the following other identifiers: |
- ISIN | US02154CAH60 |
Balance. (2) |
a. Balance | 2739000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2179983.800000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3769566 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-08-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 271 |
a. Name of issuer (if any). | RIO OIL FINANCE TRUST SERIES 2014-1 |
b. LEI (if any) of issuer. (1) | 549300V5D1W52HY8NO65 |
c. Title of the issue or description of the investment. | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25 |
d. CUSIP (if any). | 76716XAA0 |
At least one of the following other identifiers: |
- ISIN | US76716XAA00 |
Balance. (2) |
a. Balance | 269428.650000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 272762.830000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0471654 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-07-06 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 9.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 272 |
a. Name of issuer (if any). | RIO OIL FINANCE TRUST SERIES 2014-1 |
b. LEI (if any) of issuer. (1) | 549300V5D1W52HY8NO65 |
c. Title of the issue or description of the investment. | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25 |
d. CUSIP (if any). | U76673AA7 |
At least one of the following other identifiers: |
- ISIN | USU76673AA72 |
Balance. (2) |
a. Balance | 561309.690000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 568255.900000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0982612 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-07-06 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 9.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 273 |
a. Name of issuer (if any). | RSA SECURITY (REDSTONE HOLDCO 2 LP) |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REDSTONE HOLDCO 2 LP 2021 TERM LOAN |
d. CUSIP (if any). | 75774EAG0 |
At least one of the following other identifiers: |
- ISIN | US75774EAG08 |
Balance. (2) |
a. Balance | 7651655.130000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6049589.840000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.0460780 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-27 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.5677 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 274 |
a. Name of issuer (if any). | RZD CAPITAL PUBLIC LIMITED COMPANY |
b. LEI (if any) of issuer. (1) | 635400VKMH1VQDFMW392 |
c. Title of the issue or description of the investment. | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487 |
d. CUSIP (if any). | B3SXQ5II3 |
At least one of the following other identifiers: |
- ISIN | XS0609017917 |
Balance. (2) |
a. Balance | 1300000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 1234832.900000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.2135238 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-03-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.487 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 275 |
a. Name of issuer (if any). | SANDERS RE III LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SANDERS RE III LTD UNSECURED 144A 04/29 VAR |
d. CUSIP (if any). | 80000XAC3 |
At least one of the following other identifiers: |
- ISIN | US80000XAC39 |
Balance. (2) |
a. Balance | 1405000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1283713.380000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2219761 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-04-09 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 11.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 276 |
a. Name of issuer (if any). | SANDS CHINA LTD |
b. LEI (if any) of issuer. (1) | 549300EVO6UZDGY05787 |
c. Title of the issue or description of the investment. | SANDS CHINA LTD SR UNSECURED 08/28 5.9 |
d. CUSIP (if any). | 80007RAE5 |
At least one of the following other identifiers: |
- ISIN | US80007RAE53 |
Balance. (2) |
a. Balance | 2844000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2702145.550000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4672474 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-08-08 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 5.9 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 277 |
a. Name of issuer (if any). | BRIGHTHOUSE HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR |
d. CUSIP (if any). | 10924BAA5 |
At least one of the following other identifiers: |
- ISIN | US10924BAA52 |
Balance. (2) |
a. Balance | 70000.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 61250.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0105912 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 278 |
a. Name of issuer (if any). | SLM STUDENT LOAN TRUST 2013-M1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A |
d. CUSIP (if any). | 78447T103 |
At least one of the following other identifiers: |
- ISIN | US78447T1034 |
Balance. (2) |
a. Balance | 1445.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 789575.650000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1365312 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-10-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 279 |
a. Name of issuer (if any). | SLM STUDENT LOAN TRUST-2007-4 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SLM STUDENT LOAN TRUST SLMA 2007 4 R |
d. CUSIP (if any). | 78444A107 |
At least one of the following other identifiers: |
- ISIN | US78444A1079 |
Balance. (2) |
a. Balance | 4000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1181715.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2043390 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2042-01-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 280 |
a. Name of issuer (if any). | SMB PRIVATE EDUCATION LOAN TRUST 2015-A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A |
d. CUSIP (if any). | 78448P100 |
At least one of the following other identifiers: |
- ISIN | US78448P1003 |
Balance. (2) |
a. Balance | 1000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 309588.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0535331 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2048-10-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 281 |
a. Name of issuer (if any). | SMB PRIVATE EDUCATION LOAN TRUST 2015-C |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A |
d. CUSIP (if any). | 78448R106 |
At least one of the following other identifiers: |
- ISIN | US78448R1068 |
Balance. (2) |
a. Balance | 1318.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 417958.410000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0722722 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-09-18 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 282 |
a. Name of issuer (if any). | SOCIETE GENERALE SA |
b. LEI (if any) of issuer. (1) | O2RNE8IBXP4R0TD8PU41 |
c. Title of the issue or description of the investment. | SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR |
d. CUSIP (if any). | 83368RBS0 |
At least one of the following other identifiers: |
- ISIN | US83368RBS04 |
Balance. (2) |
a. Balance | 500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 511937.880000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0885229 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2034-01-10 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.691 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 283 |
a. Name of issuer (if any). | SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A |
d. CUSIP (if any). | 83403Y104 |
At least one of the following other identifiers: |
- ISIN | US83403Y1047 |
Balance. (2) |
a. Balance | 4400000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 440426.360000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0761573 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2040-05-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 284 |
a. Name of issuer (if any). | SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A |
d. CUSIP (if any). | 83405D108 |
At least one of the following other identifiers: |
- ISIN | US83405D1081 |
Balance. (2) |
a. Balance | 21400.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 256204.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0443022 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2040-07-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 285 |
a. Name of issuer (if any). | SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A |
d. CUSIP (if any). | 78471C109 |
At least one of the following other identifiers: |
- ISIN | US78471C1099 |
Balance. (2) |
a. Balance | 1758000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 240507.510000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0415879 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2040-09-25 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 286 |
a. Name of issuer (if any). | SOUTH COAST FUNDING 3A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOUTH COAST FUNDING SCF 3A A1A 144A |
d. CUSIP (if any). | 83743SAN6 |
At least one of the following other identifiers: |
- ISIN | US83743SAN62 |
Balance. (2) |
a. Balance | 11441926.240000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 881028.320000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1523449 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2038-08-10 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.45929 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 287 |
a. Name of issuer (if any). | SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I) |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR |
d. CUSIP (if any). | 00846NAA5 |
At least one of the following other identifiers: |
- ISIN | US00846NAA54 |
Balance. (2) |
a. Balance | 1800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1020239.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1764169 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2067-01-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.54243 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 288 |
a. Name of issuer (if any). | STEENBOK LUX FINCO 2 SARL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2 |
d. CUSIP (if any). | 935YNTII0 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3165687 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 14659085.690000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 10492532.740000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 1.8143392 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 289 |
a. Name of issuer (if any). | STRUCTURED ADJUSTABLE RT MTGE LN 2005-23 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1 |
d. CUSIP (if any). | 863579L48 |
At least one of the following other identifiers: |
- ISIN | US863579L482 |
Balance. (2) |
a. Balance | 1252118.270000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 761359.650000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1316522 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.11507 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 290 |
a. Name of issuer (if any). | STRUCTURED ADJUSTABLE RT MTGE LN 2006-10 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1 |
d. CUSIP (if any). | 86361QAD6 |
At least one of the following other identifiers: |
- ISIN | US86361QAD60 |
Balance. (2) |
a. Balance | 1112325.020000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 914702.460000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1581678 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.03926 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 291 |
a. Name of issuer (if any). | STUBHUB (PUG LLC) |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | PUG LLC 2021 INCREMENTAL TERM LOAN B |
d. CUSIP (if any). | 74530DAG0 |
At least one of the following other identifiers: |
- ISIN | US74530DAG07 |
Balance. (2) |
a. Balance | 407929.300000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 294728.920000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0509637 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-12 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.0903 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 292 |
a. Name of issuer (if any). | STUBHUB (PUG LLC) |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | PUG LLC USD TERM LOAN |
d. CUSIP (if any). | 74530DAC9 |
At least one of the following other identifiers: |
- ISIN | US74530DAC92 |
Balance. (2) |
a. Balance | 9640410.220000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7037547.660000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2169129 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-12 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.3403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 293 |
a. Name of issuer (if any). | SUNTRUST ADJR MRTG LN TR 2007-1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1 |
d. CUSIP (if any). | 78473NAC7 |
At least one of the following other identifiers: |
- ISIN | US78473NAC74 |
Balance. (2) |
a. Balance | 66543.160000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 57335.140000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0099142 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-02-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.03397 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 294 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP SR UNSECURED 01/25 3.5 |
d. CUSIP (if any). | 78486QAD3 |
At least one of the following other identifiers: |
- ISIN | US78486QAD34 |
Balance. (2) |
a. Balance | 100000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 63187.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0109262 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-01-29 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.5 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 295 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP SR UNSECURED 02/31 1.8 |
d. CUSIP (if any). | 78486QAF8 |
At least one of the following other identifiers: |
- ISIN | US78486QAF81 |
Balance. (2) |
a. Balance | 1298000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 741028.200000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1281365 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-02-02 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.8 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 296 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP SR UNSECURED 04/28 VAR |
d. CUSIP (if any). | 78486QAR2 |
At least one of the following other identifiers: |
- ISIN | US78486QAR20 |
Balance. (2) |
a. Balance | 500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 304205.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0526023 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-29 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.345 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 297 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP SR UNSECURED 04/33 VAR |
d. CUSIP (if any). | 78486QAS0 |
At least one of the following other identifiers: |
- ISIN | US78486QAS03 |
Balance. (2) |
a. Balance | 1600000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 929440.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1607161 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-04-29 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 4.57 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 298 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP SR UNSECURED 05/28 2.1 |
d. CUSIP (if any). | 78486QAH4 |
At least one of the following other identifiers: |
- ISIN | US78486QAH48 |
Balance. (2) |
a. Balance | 200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 120280.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0207985 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-05-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 2.1 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 299 |
a. Name of issuer (if any). | SVB FINANCIAL GROUP |
b. LEI (if any) of issuer. (1) | 549300D2KJ20JMXE7542 |
c. Title of the issue or description of the investment. | SVB FINANCIAL GROUP SR UNSECURED 06/30 3.125 |
d. CUSIP (if any). | 78486QAE1 |
At least one of the following other identifiers: |
- ISIN | US78486QAE17 |
Balance. (2) |
a. Balance | 200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 116280.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0201068 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-06-05 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.125 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 300 |
a. Name of issuer (if any). | SYNIVERSE HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | 549300CYZBHMZC8VLL59 |
c. Title of the issue or description of the investment. | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN |
d. CUSIP (if any). | 87168TAB7 |
At least one of the following other identifiers: |
- ISIN | US87168TAB70 |
Balance. (2) |
a. Balance | 17819583.180000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 15864953.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.7433229 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-05-13 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 11.8983 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 301 |
a. Name of issuer (if any). | TABERNA PREFERRED FUNDING LTD 2005-1A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TABERNA PREFERED FUNDING LTD TBRNA 2005 1A A1A 144A |
d. CUSIP (if any). | 87330PAA0 |
At least one of the following other identifiers: |
- ISIN | US87330PAA03 |
Balance. (2) |
a. Balance | 1304924.040000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1161382.400000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2008230 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-07-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.69257 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 302 |
a. Name of issuer (if any). | TABERNA PREFERRED FUNDING LTD 2006-5A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A |
d. CUSIP (if any). | 87331BAA0 |
At least one of the following other identifiers: |
- ISIN | US87331BAA08 |
Balance. (2) |
a. Balance | 273352.740000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 237816.880000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0411226 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.18614 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 303 |
a. Name of issuer (if any). | TABERNA PREFERRED FUNDING LTD 2006-5A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A |
d. CUSIP (if any). | 87331BAB8 |
At least one of the following other identifiers: |
- ISIN | US87331BAB80 |
Balance. (2) |
a. Balance | 5398716.520000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4696883.370000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8121718 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.18614 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 304 |
a. Name of issuer (if any). | TABERNA PREFERRED FUNDING LTD 2006-6A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1 144A |
d. CUSIP (if any). | 87331AAA2 |
At least one of the following other identifiers: |
- ISIN | US87331AAA25 |
Balance. (2) |
a. Balance | 3815480.770000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3281313.460000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5673955 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.16614 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 305 |
a. Name of issuer (if any). | TABERNA PREFERRED FUNDING LTD 2006-6A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1BF 144A |
d. CUSIP (if any). | 87331AAB0 |
At least one of the following other identifiers: |
- ISIN | US87331AAB08 |
Balance. (2) |
a. Balance | 706570.510000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 607650.640000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1050732 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-05 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.16614 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 306 |
a. Name of issuer (if any). | TEAM HEALTH HOLDINGS INC |
b. LEI (if any) of issuer. (1) | 549300PVTQ4UDTTMQT11 |
c. Title of the issue or description of the investment. | TEAM HEALTH INC DEL TERM LOAN B |
d. CUSIP (if any). | 87817JAE8 |
At least one of the following other identifiers: |
- ISIN | US87817JAE82 |
Balance. (2) |
a. Balance | 13720741.390000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11799837.600000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.0403946 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-02-06 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.5903 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 307 |
a. Name of issuer (if any). | TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TELEMAR NORTE LESTE SA TERM LOAN |
d. CUSIP (if any). | 938VCRII9 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL005455 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 8912816.690000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 699176.330000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1208996 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 308 |
a. Name of issuer (if any). | TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TELEMAR NORTE LESTE SA TERM LOAN 2 |
d. CUSIP (if any). | 938VGTII1 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL005489 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 213815.110000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 16772.980000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0029003 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 309 |
a. Name of issuer (if any). | TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TELEMAR NORTE LESTE SA TERM LOAN 3 |
d. CUSIP (if any). | 938VGUII8 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL005497 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 2464588.400000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 193337.520000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0334314 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 310 |
a. Name of issuer (if any). | TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TELEMAR NORTE LESTE SA TERM LOAN 5 |
d. CUSIP (if any). | 945BALII9 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKL005471 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 789719.300000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 61950.450000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0107123 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-02-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 311 |
a. Name of issuer (if any). | THARALDSON HOTEL PORTFOLIO TRUST 2018 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A |
d. CUSIP (if any). | 88327HAN3 |
At least one of the following other identifiers: |
- ISIN | US88327HAN35 |
Balance. (2) |
a. Balance | 3240321.050000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3054425.450000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5281626 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2034-11-11 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.19 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 312 |
a. Name of issuer (if any). | TOBACCO SETTLEMENT FINANCE AUTHORITY |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0 |
d. CUSIP (if any). | 88880LAB9 |
At least one of the following other identifiers: |
- ISIN | US88880LAB99 |
Balance. (2) |
a. Balance | 45700000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4056583.350000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7014529 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2047-06-01 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 313 |
a. Name of issuer (if any). | TOPAZ SOLAR FARMS LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875 |
d. CUSIP (if any). | 89054XAD7 |
At least one of the following other identifiers: |
- ISIN | US89054XAD75 |
Balance. (2) |
a. Balance | 1861815.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1536946.900000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2657645 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-09-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.875 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 314 |
a. Name of issuer (if any). | TOPAZ SOLAR FARMS LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75 |
d. CUSIP (if any). | 89054XAC9 |
At least one of the following other identifiers: |
- ISIN | US89054XAC92 |
Balance. (2) |
a. Balance | 11085704.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10536629.080000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.8219642 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-09-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 315 |
a. Name of issuer (if any). | UKRAINE GOVT |
b. LEI (if any) of issuer. (1) | 6354001WLTJXOMEXPY07 |
c. Title of the issue or description of the investment. | UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375 |
d. CUSIP (if any). | ACI1J9SD5 |
At least one of the following other identifiers: |
- ISIN | XS2010033186 |
Balance. (2) |
a. Balance | 1205000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 228693.920000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0395451 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UKRAINE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-01-27 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.375 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 316 |
a. Name of issuer (if any). | AMGEN INC |
b. LEI (if any) of issuer. (1) | 62QBXGPJ34PQ72Z12S66 |
c. Title of the issue or description of the investment. | AMGEN INC SR UNSECURED 03/63 5.75 |
d. CUSIP (if any). | 031162DU1 |
At least one of the following other identifiers: |
- ISIN | US031162DU18 |
Balance. (2) |
a. Balance | 1200000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1246588.600000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2155566 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2063-03-02 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 317 |
a. Name of issuer (if any). | UNIQUE PUB FINANCE CO PLC |
b. LEI (if any) of issuer. (1) | 213800FOMWLKHQTI5562 |
c. Title of the issue or description of the investment. | UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659 |
d. CUSIP (if any). | 743541II7 |
At least one of the following other identifiers: |
- ISIN | XS0154960537 |
Balance. (2) |
a. Balance | 334433.900000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 409018.620000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.0707263 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.659 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 318 |
a. Name of issuer (if any). | AMSURG LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN |
d. CUSIP (if any). | 943TEZII7 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3922202 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 20030116.280000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 14905711.480000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.5774536 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 16.326 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 319 |
a. Name of issuer (if any). | UNITED STATES GOVT |
b. LEI (if any) of issuer. (1) | 254900HROIFWPRGM1V77 |
c. Title of the issue or description of the investment. | TREASURY BILL 05/23 0.00000 |
d. CUSIP (if any). | 912797FD4 |
At least one of the following other identifiers: |
- ISIN | US912797FD45 |
Balance. (2) |
a. Balance | 2172000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2162274.870000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3738945 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
U.S. Treasury
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-09 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 320 |
a. Name of issuer (if any). | AMSURG LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ENVISION HEALTHCARE CORPRTION 2022 TERM LOAN |
d. CUSIP (if any). | 03233AAB6 |
At least one of the following other identifiers: |
- ISIN | US03233AAB61 |
Balance. (2) |
a. Balance | 8376923.080000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 8293153.850000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.4340288 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-29 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 12.701 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 321 |
a. Name of issuer (if any). | ANCESTRY.COM |
b. LEI (if any) of issuer. (1) | 2549009ADY4208OH2Y47 |
c. Title of the issue or description of the investment. | ARCHES BUYER INC 2021 TERM LOAN B |
d. CUSIP (if any). | 03952HAD6 |
At least one of the following other identifiers: |
- ISIN | US03952HAD61 |
Balance. (2) |
a. Balance | 919647.960000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 868777.630000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1502266 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-12-06 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.157 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 322 |
a. Name of issuer (if any). | UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6 |
d. CUSIP (if any). | 91327AAB8 |
At least one of the following other identifiers: |
- ISIN | US91327AAB89 |
Balance. (2) |
a. Balance | 9565000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5607481.250000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9696298 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-01-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 323 |
a. Name of issuer (if any). | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5 |
d. CUSIP (if any). | 91327BAA8 |
At least one of the following other identifiers: |
- ISIN | US91327BAA89 |
Balance. (2) |
a. Balance | 2900000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1772639.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3065198 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 324 |
a. Name of issuer (if any). | US RENAL CARE INC |
b. LEI (if any) of issuer. (1) | 54930058SS5MF69JGN89 |
c. Title of the issue or description of the investment. | U.S. RENAL CARE, INC. 2019 TERM LOAN B |
d. CUSIP (if any). | 90290PAN4 |
At least one of the following other identifiers: |
- ISIN | US90290PAN42 |
Balance. (2) |
a. Balance | 15772395.020000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10784375.090000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.8648037 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-06-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.875 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 325 |
a. Name of issuer (if any). | US RENAL CARE INC |
b. LEI (if any) of issuer. (1) | 54930058SS5MF69JGN89 |
c. Title of the issue or description of the investment. | US RENAL CARE INC 2021 TERM LOAN B |
d. CUSIP (if any). | 90290PAQ7 |
At least one of the following other identifiers: |
- ISIN | US90290PAQ72 |
Balance. (2) |
a. Balance | 5849907.670000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3999874.370000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6916470 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-06-26 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 10.375 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 326 |
a. Name of issuer (if any). | US RENAL CARE INC |
b. LEI (if any) of issuer. (1) | 54930058SS5MF69JGN89 |
c. Title of the issue or description of the investment. | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625 |
d. CUSIP (if any). | 07335BAA4 |
At least one of the following other identifiers: |
- ISIN | US07335BAA44 |
Balance. (2) |
a. Balance | 4868000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1286012.130000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2223736 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-07-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.625 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 327 |
a. Name of issuer (if any). | VALARIS LIMITED |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | VALARIS LTD SR SECURED 04/28 8.25 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USG9460GAA97 |
Balance. (2) |
a. Balance | 2517000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2557020.300000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4421527 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 328 |
a. Name of issuer (if any). | VALARIS LIMITED |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | VALARIS LTD SR SECURED 144A 04/28 8.25 |
d. CUSIP (if any). | 91889FAA9 |
At least one of the following other identifiers: |
- ISIN | US91889FAA93 |
Balance. (2) |
a. Balance | 2754000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2797788.600000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4837857 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 329 |
a. Name of issuer (if any). | VALE SA |
b. LEI (if any) of issuer. (1) | 254900SMTWBX7RU2SR20 |
c. Title of the issue or description of the investment. | VALE SA SUBORDINATED 12/49 VAR |
d. CUSIP (if any). | B011X9II2 |
At least one of the following other identifiers: |
- ISIN | BRVALEDBS028 |
Balance. (2) |
a. Balance | 110000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | 8030068.360000 |
f. Exchange rate. | 5.068500 |
g. Percentage value compared to net assets of the Fund. | 1.3885368 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-29 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 3.20163 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 330 |
a. Name of issuer (if any). | VENEZUELAN GOVT |
b. LEI (if any) of issuer. (1) | 529900XM8PJTJK5OJI77 |
c. Title of the issue or description of the investment. | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25 |
d. CUSIP (if any). | 922646AS3 |
At least one of the following other identifiers: |
- ISIN | US922646AS37 |
Balance. (2) |
a. Balance | 315000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 33862.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0058554 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 9.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 331 |
a. Name of issuer (if any). | VENEZUELAN GOVT |
b. LEI (if any) of issuer. (1) | 529900XM8PJTJK5OJI77 |
c. Title of the issue or description of the investment. | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25 |
d. CUSIP (if any). | P97475AP5 |
At least one of the following other identifiers: |
- ISIN | USP97475AP55 |
Balance. (2) |
a. Balance | 28000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3080.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0005326 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-10-13 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 332 |
a. Name of issuer (if any). | VERITAS US INC |
b. LEI (if any) of issuer. (1) | 549300RFUWCPWS8FQ104 |
c. Title of the issue or description of the investment. | VERITAS US INC 2021 TERM LOAN B |
d. CUSIP (if any). | G9341JAN0 |
At least one of the following other identifiers: |
- ISIN | XAG9341JAN00 |
Balance. (2) |
a. Balance | 14078971.730000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10766471.260000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.8617078 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-09-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.8403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 333 |
a. Name of issuer (if any). | VERITAS US INC / VERITAS BERMUDA LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5 |
d. CUSIP (if any). | 92346LAE3 |
At least one of the following other identifiers: |
- ISIN | US92346LAE39 |
Balance. (2) |
a. Balance | 2750000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2072853.310000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3584319 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-09-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 334 |
a. Name of issuer (if any). | VICI PROPERTIES LP / VICI NOTE CO INC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75 |
d. CUSIP (if any). | 92564RAJ4 |
At least one of the following other identifiers: |
- ISIN | US92564RAJ41 |
Balance. (2) |
a. Balance | 5300000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5207895.860000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9005347 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 335 |
a. Name of issuer (if any). | VIKING CRUISES LTD |
b. LEI (if any) of issuer. (1) | 549300IJP90T4MV2GL84 |
c. Title of the issue or description of the investment. | VIKING CRUISES LTD SR SECURED 144A 05/25 13 |
d. CUSIP (if any). | 92676XAE7 |
At least one of the following other identifiers: |
- ISIN | US92676XAE76 |
Balance. (2) |
a. Balance | 6151000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6502591.160000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1244097 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-05-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 13 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 336 |
a. Name of issuer (if any). | APIDOS CDO 2014-18A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | APIDOS CLO APID 2014 18A SUB 144A |
d. CUSIP (if any). | 03765EAE8 |
At least one of the following other identifiers: |
- ISIN | US03765EAE86 |
Balance. (2) |
a. Balance | 1500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1560.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002698 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-07-22 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 337 |
a. Name of issuer (if any). | VOYAGER AVIATION HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | 549300KHOKL1CX4NIJ92 |
c. Title of the issue or description of the investment. | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5 |
d. CUSIP (if any). | 92918XAA3 |
At least one of the following other identifiers: |
- ISIN | US92918XAA37 |
Balance. (2) |
a. Balance | 8297000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6554630.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1334081 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-05-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 338 |
a. Name of issuer (if any). | APIDOS CLO 2017-28A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | APIDOS CLO APID 2017 28A SUB 144A |
d. CUSIP (if any). | 03766YAB9 |
At least one of the following other identifiers: |
- ISIN | US03766YAB92 |
Balance. (2) |
a. Balance | 4500000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1417451.670000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2451017 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-01-20 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 339 |
a. Name of issuer (if any). | WAMU MTGE P/T CERT 2007-HY1 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2 |
d. CUSIP (if any). | 92925VAJ9 |
At least one of the following other identifiers: |
- ISIN | US92925VAJ98 |
Balance. (2) |
a. Balance | 257885.720000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 227664.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0393672 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-02-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.71281 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 340 |
a. Name of issuer (if any). | WAMU MTGE P/T CERT 2007-HY5 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1 |
d. CUSIP (if any). | 92990GAJ2 |
At least one of the following other identifiers: |
- ISIN | US92990GAJ22 |
Balance. (2) |
a. Balance | 509379.560000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 436306.260000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0754448 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-05-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.36039 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 341 |
a. Name of issuer (if any). | WAMU MTGE P/T CERT 2007-HY7 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1 |
d. CUSIP (if any). | 93364FAL5 |
At least one of the following other identifiers: |
- ISIN | US93364FAL58 |
Balance. (2) |
a. Balance | 444088.500000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 400963.070000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0693334 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-07-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.88441 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 342 |
a. Name of issuer (if any). | APOLLO COMMERCIAL REAL ESTATE FINANCE INC |
b. LEI (if any) of issuer. (1) | 549300E0AN7M2AQHSY29 |
c. Title of the issue or description of the investment. | APOLLO CMMRL REAL EST FI SR SECURED 144A 06/29 4.625 |
d. CUSIP (if any). | 03762UAD7 |
At least one of the following other identifiers: |
- ISIN | US03762UAD72 |
Balance. (2) |
a. Balance | 830000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 584710.100000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1011064 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-06-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.625 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 343 |
a. Name of issuer (if any). | WASHINGTON MUTUAL 2006-AR12 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3 |
d. CUSIP (if any). | 93363NAM7 |
At least one of the following other identifiers: |
- ISIN | US93363NAM74 |
Balance. (2) |
a. Balance | 386227.630000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 328005.510000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0567178 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-10-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 3.67165 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 344 |
a. Name of issuer (if any). | WESCO AIRCRAFT HOLDINGS INC |
b. LEI (if any) of issuer. (1) | 529900P5VTXZS191P208 |
c. Title of the issue or description of the investment. | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5 |
d. CUSIP (if any). | 950814AA1 |
At least one of the following other identifiers: |
- ISIN | US950814AA18 |
Balance. (2) |
a. Balance | 27314654.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 24310042.060000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.2036239 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-11-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 345 |
a. Name of issuer (if any). | WEST MARINE (RISING TIDE HOLDINGS INC) |
b. LEI (if any) of issuer. (1) | 254900T03WM6VU0KWL83 |
c. Title of the issue or description of the investment. | RISING TIDE HOLDINGS INC 2ND LIEN TERM LOAN |
d. CUSIP (if any). | 76770EAF4 |
At least one of the following other identifiers: |
- ISIN | US76770EAF43 |
Balance. (2) |
a. Balance | 167939.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 46445.210000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0080312 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-06-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 13.2034 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 346 |
a. Name of issuer (if any). | WEST MARINE (RISING TIDE HOLDINGS INC) |
b. LEI (if any) of issuer. (1) | 254900T03WM6VU0KWL83 |
c. Title of the issue or description of the investment. | RISING TIDE HOLDINGS INC TERM LOAN |
d. CUSIP (if any). | 76770EAB3 |
At least one of the following other identifiers: |
- ISIN | US76770EAB39 |
Balance. (2) |
a. Balance | 1083500.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 660257.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1141699 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-06-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.7034 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 347 |
a. Name of issuer (if any). | WESTMORELAND MINING HOLDINGS LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | WESTMORELAND COAL CO PIK TERM LOAN |
d. CUSIP (if any). | 96106JAE9 |
At least one of the following other identifiers: |
- ISIN | US96106JAE91 |
Balance. (2) |
a. Balance | 5211537.690000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3926007.690000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6788742 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 15 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 348 |
a. Name of issuer (if any). | WINDSTREAM SERVICES II LLC |
b. LEI (if any) of issuer. (1) | 549300KT9GVEBYCD2N29 |
c. Title of the issue or description of the investment. | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B |
d. CUSIP (if any). | 97381JAE3 |
At least one of the following other identifiers: |
- ISIN | US97381JAE38 |
Balance. (2) |
a. Balance | 2769761.850000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2520483.280000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4358349 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-21 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 11.157 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 349 |
a. Name of issuer (if any). | WINDSTREAM SERVICES II LLC |
b. LEI (if any) of issuer. (1) | 549300KT9GVEBYCD2N29 |
c. Title of the issue or description of the investment. | WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN |
d. CUSIP (if any). | 948CQMII5 |
At least one of the following other identifiers: |
- ISIN | US97381JAG85 |
Balance. (2) |
a. Balance | 6060000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5635800.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9745266 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-23 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.807 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 350 |
a. Name of issuer (if any). | WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP) |
b. LEI (if any) of issuer. (1) | 549300L3SXBFJVGRCF66 |
c. Title of the issue or description of the investment. | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75 |
d. CUSIP (if any). | 97382WAA1 |
At least one of the following other identifiers: |
- ISIN | US97382WAA18 |
Balance. (2) |
a. Balance | 4800000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3936000.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6806020 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-08-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 351 |
a. Name of issuer (if any). | YAHOO (AKA: AP CORE HOLDINGS II LLC) |
b. LEI (if any) of issuer. (1) | 549300PND8ZZ4RWYRZ56 |
c. Title of the issue or description of the investment. | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1 |
d. CUSIP (if any). | 00187GAC3 |
At least one of the following other identifiers: |
- ISIN | US00187GAC33 |
Balance. (2) |
a. Balance | 4814148.200000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4693794.500000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8116377 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 10.3403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 352 |
a. Name of issuer (if any). | YAHOO (AKA: AP CORE HOLDINGS II LLC) |
b. LEI (if any) of issuer. (1) | 549300PND8ZZ4RWYRZ56 |
c. Title of the issue or description of the investment. | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2 |
d. CUSIP (if any). | 00187GAD1 |
At least one of the following other identifiers: |
- ISIN | US00187GAD16 |
Balance. (2) |
a. Balance | 11620000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11339202.700000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.9607429 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-01 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 10.3403 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 353 |
a. Name of issuer (if any). | YOSEMITE RE LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | YOSEMITE RE LTD UNSECURED 144A 06/25 VAR |
d. CUSIP (if any). | 98740RAA7 |
At least one of the following other identifiers: |
- ISIN | US98740RAA77 |
Balance. (2) |
a. Balance | 760000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 729999.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1262294 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-06-06 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.75 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 354 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BARCLAYS REV REPO EUR |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 987KWB004 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -566800.010000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -614859.470000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.1063198 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BARCLAYS BANK PLC | G5GSEF7VJP5I7OUK5573 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 3.2500000 |
e. Maturity date. | 2025-03-30 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 550000.000000 | Euro Member Countries | 534187.500000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 355 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | HSBC REVERSE REPO EUR ZCP |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 971NTR005 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -5423156.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -5932663.120000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -1.0258594 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 3.0500000 |
e. Maturity date. | 2024-11-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 6685000.000000 | Euro Member Countries | 6110811.980000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 356 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JPM CHASE REVERSE REPO EUR ZCP |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 971NTU008 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -3626094.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -3970247.180000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.6865239 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES PLC | K6Q0W1PS1L1O4IQL9C32 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 3.0500000 |
e. Maturity date. | 2024-09-13 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 4950000.000000 | Euro Member Countries | 4474540.300000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 357 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO PARIBAS |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 913ZLW006 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -3528545.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3538671.920000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.6118972 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.7400000 |
e. Maturity date. | 2023-07-14 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 11474943.830000 | United States Dollar | 4812414.730000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 358 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REPO SOCIETE GENERALE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 988FSF000 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 23000000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 23000000.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.9770951 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☒ Repurchase ☐ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SG AMERICAS SECURITIES, LLC | 549300F35UE0BOM1WJ55 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.8500000 |
e. Maturity date. | 2023-04-03 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 24329000.000000 | United States Dollar | 23333506.710000 | United States Dollar | U.S. Treasuries (including strips) |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 359 |
a. Name of issuer (if any). | CAYENNE AVIATION LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5 |
d. CUSIP (if any). | 942UCF900 |
At least one of the following other identifiers: |
- Ticker (if ISIN is not available). | AEP |
Balance. (2) |
a. Balance | 6929.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1605798.590000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2776702 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 360 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO BANK OF AMERICA REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 913ZLA004 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -3027002.430000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3052303.120000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.5277956 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BOFA SECURITIES, INC. | 549300HN4UKV1E2R3U73 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.1000000 |
e. Maturity date. | 2023-04-12 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 3935500.000000 | United States Dollar | 3249655.930000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 361 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO CREDIT AGRICOLE 03/14 VAR |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 923TKQ002 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -506608.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -515935.780000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.0892142 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | CREDIT AGRICOLE SECURITIES (USA) INC. | 549300WO2DKF0Q3YMV43 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.5400000 |
e. Maturity date. | 2023-04-10 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 700000.000000 | United States Dollar | 634321.880000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 362 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO CREDIT AGRICOLE 03/14 VAR |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 923TKQ002 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -535557.290000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -537758.430000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.0929877 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK | 1VUV7VQFKUOQSJ21A208 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.4800000 |
e. Maturity date. | 2023-07-07 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 700000.000000 | United States Dollar | 643461.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 363 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO CREDIT AGRICOLE 03/14 VAR |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 923TKQ002 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1124851.290000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1129457.560000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.1953026 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | CREDIT AGRICOLE SECURITIES (USA) INC. | 549300WO2DKF0Q3YMV43 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.4600000 |
e. Maturity date. | 2023-07-07 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1200000.000000 | United States Dollar | 1318143.610000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 364 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO JPM CHASE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 913ZLQ009 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -7741451.940000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -7791405.810000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.3472679 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.0500000 |
e. Maturity date. | 2023-07-06 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 9800000.000000 | United States Dollar | 8880506.280000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 365 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -314165.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -317089.870000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.0548303 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.3200000 |
e. Maturity date. | 2023-04-04 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 400000.000000 | United States Dollar | 367692.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 366 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1017082.620000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1037437.440000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.1793908 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.7600000 |
e. Maturity date. | 2023-04-05 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2100000.000000 | United States Dollar | 1296008.100000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 367 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -152574.350000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -156150.940000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.0270012 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.8500000 |
e. Maturity date. | 2023-04-06 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 220000.000000 | United States Dollar | 194860.450000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 368 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -6221536.580000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -6249609.530000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.0806648 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.2400000 |
e. Maturity date. | 2023-05-02 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 8960000.000000 | United States Dollar | 6994078.500000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 369 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -4235802.880000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -4268895.460000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.7381654 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.3500000 |
e. Maturity date. | 2023-07-28 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 5113000.000000 | United States Dollar | 4312580.720000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 370 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2037874.330000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2057388.110000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3557577 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5600000 |
e. Maturity date. | 2023-07-28 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2739000.000000 | United States Dollar | 2179983.790000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 371 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1216803.330000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1227288.120000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.2122192 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.6400000 |
e. Maturity date. | 2023-08-04 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1377000.000000 | United States Dollar | 1398894.300000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 372 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -15224632.160000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -15297655.420000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -2.6452274 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5700000 |
e. Maturity date. | 2023-08-09 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 20181000.000000 | United States Dollar | 18486154.630000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 373 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2010697.210000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2025393.730000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3502254 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.3700000 |
e. Maturity date. | 2023-08-11 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1882000.000000 | United States Dollar | 2082034.490000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 374 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2785508.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2799012.300000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.4839973 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.6300000 |
e. Maturity date. | 2023-08-11 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 3910000.000000 | United States Dollar | 3127100.700000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 375 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO NATEXIS BANQUE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 922VXD003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -290328.380000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -290328.380000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.0502028 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.6300000 |
e. Maturity date. | 2023-10-02 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 400000.000000 | United States Dollar | 367692.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 376 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO ROYAL BANK OF CAN |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973MHZ000 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1365009.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1373866.010000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.2375650 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | RBC Capital Markets, LLC | 549300LCO2FLSSVFFR64 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.9700000 |
e. Maturity date. | 2023-04-03 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1300000.000000 | United States Dollar | 1385568.670000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 377 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO ROYAL BANK OF CAN |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973MHZ000 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -629595.810000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -634142.890000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.1096542 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | RBC Capital Markets, LLC | 549300LCO2FLSSVFFR64 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.0000000 |
e. Maturity date. | 2023-04-03 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 779000.000000 | United States Dollar | 626531.760000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 378 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO ROYAL BANK OF CAN |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973MHZ000 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -3930775.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3930775.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.6796985 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | RBC Capital Markets, LLC | 549300LCO2FLSSVFFR64 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.3200000 |
e. Maturity date. | 2023-06-02 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 4387000.000000 | United States Dollar | 4151891.650000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 379 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO STANDARD CHARTERE VAR 1 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 924YAU002 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1254549.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1260863.560000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.2180250 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.5300000 |
e. Maturity date. | 2023-04-03 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1659000.000000 | United States Dollar | 1387780.870000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 380 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO BNP PARIBAS REPU REGIONS BANK |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 935IFH008 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2676021.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2689512.610000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.4650629 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5000000 |
e. Maturity date. | 2023-07-27 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 3100000.000000 | United States Dollar | 2999250.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 381 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO BNP PARIBAS REPU REGIONS BANK |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 935IFH008 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1879363.750000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1894701.450000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3276264 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.6500000 |
e. Maturity date. | 2023-10-17 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2200000.000000 | United States Dollar | 2161768.090000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 382 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO MERRILL LYNCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 913ZLS005 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2619122.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2619122.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.4528912 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MERRILL LYNCH INTERNATIONAL | GGDZP1UYGU9STUHRDP48 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.6200000 |
e. Maturity date. | 2023-07-17 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 3100000.000000 | United States Dollar | 3046127.770000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 383 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO MERRILL LYNCH |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 913ZLS005 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -4736928.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -4741309.660000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.8198539 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MERRILL LYNCH INTERNATIONAL | GGDZP1UYGU9STUHRDP48 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5500000 |
e. Maturity date. | 2023-07-27 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 7840000.000000 | United States Dollar | 6271696.830000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 384 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO SOCIETE GENERALE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 988FYT003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1550270.030000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1575867.340000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.2724945 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SG AMERICAS SECURITIES, LLC | 549300F35UE0BOM1WJ55 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.9000000 |
e. Maturity date. | 2023-04-12 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2397354.000000 | United States Dollar | 1871555.060000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 385 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO SOCIETE GENERALE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 988FYT003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -720720.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -735434.700000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.1271693 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SOCIETE GENERALE | O2RNE8IBXP4R0TD8PU41 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.9000000 |
e. Maturity date. | 2023-04-12 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 900000.000000 | United States Dollar | 894780.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 386 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO SOCIETE GENERALE REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 988FYT003 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1758497.040000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1759305.950000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3042142 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SG AMERICAS SECURITIES, LLC | 549300F35UE0BOM1WJ55 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5200000 |
e. Maturity date. | 2023-08-03 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2750000.000000 | United States Dollar | 2072853.310000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 387 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO THE BANK OF NOVA REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973VSR006 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2172043.220000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2223168.290000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.3844240 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SCOTIA CAPITAL (USA) INC. | 549300BLWPABP1VNME36 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5000000 |
e. Maturity date. | 2023-04-03 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 4100000.000000 | United States Dollar | 3219935.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 388 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO THE BANK OF NOVA REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973VSR006 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -11054428.670000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -11072179.370000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.9145700 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SCOTIA CAPITAL (USA) INC. | 549300BLWPABP1VNME36 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5500000 |
e. Maturity date. | 2023-09-20 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 14031114.000000 | United States Dollar | 12694504.360000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 389 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO THE BANK OF NOVA REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973VSR006 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -2317098.600000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2317098.600000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.4006662 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SCOTIA CAPITAL (USA) INC. | 549300BLWPABP1VNME36 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5500000 |
e. Maturity date. | 2023-09-29 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 4100000.000000 | United States Dollar | 3219935.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 390 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | REVERSE REPO THE BANK OF NOVA REVERSE REPO |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 973VSR006 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | -1126318.570000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1127178.950000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.1949086 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☐ Yes ☒ No |
ii. If No, provide the name and LEI (if any) of counterparty. |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SCOTIA CAPITAL (USA) INC. | 549300BLWPABP1VNME36 |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.5000000 |
e. Maturity date. | 2023-10-19 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1200000.000000 | United States Dollar | 1268592.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 391 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BANCA MONTE DEI PASCHI DI SNR SE SP JPM |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZCPXBN5XVR9 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2223.800000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0003845 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | BANCA MONTE DEI PASCHI DI SIENA SPA |
Title of issue. | BANCA MONTE DEI PASCHI S |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | XS2055091784 |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.000000 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2025-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | -2012.970000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 100000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | 4236.770000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 392 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CMKBBRDBR |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 6750.460000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0011673 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
i. Amount and description of currency sold. |
Amount of currency sold. | 363064.000000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 341000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 6750.460000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 393 |
a. Name of issuer (if any). | ARGENT SECURITIES INC. 2006-W2 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ARGENT SECURITIES INC. ARSI 2006 W2 A2B |
d. CUSIP (if any). | 040104RV5 |
At least one of the following other identifiers: |
- ISIN | US040104RV54 |
Balance. (2) |
a. Balance | 3065674.680000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1612781.860000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2788777 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-03-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.22529 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 394 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD CHF BOUGHT USD 20230516 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BKKBBN44Q |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Switzerland Franc
|
e. Value. (4) | -348.390000 |
f. Exchange rate. | 0.910800 |
g. Percentage value compared to net assets of the Fund. | -0.0000602 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
i. Amount and description of currency sold. |
Amount of currency sold. | 98000.000000 |
Description of currency sold. |
Switzerland Franc
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 107247.110000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-16 |
iv. Unrealized appreciation or depreciation. (24) | -348.390000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 395 |
a. Name of issuer (if any). | CBL & ASSOCIATES PROPERTIES INC |
b. LEI (if any) of issuer. (1) | 529900EIVFBRS4PUBZ13 |
c. Title of the issue or description of the investment. | CBL + ASSOCIATES PROPERTIES REIT USD.01 |
d. CUSIP (if any). | 124830878 |
At least one of the following other identifiers: |
- ISIN | US1248308785 |
Balance. (2) |
a. Balance | 6516.000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 167070.240000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0288893 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 396 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000 |
d. CUSIP (if any). | ACI28ZVJ0 |
At least one of the following other identifiers: |
- ISIN | ARARGE520C57 |
Balance. (2) |
a. Balance | 61223559.600000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Argentina Peso
|
e. Value. (4) | 149847.400000 |
f. Exchange rate. | 410.840000 |
g. Percentage value compared to net assets of the Fund. | 0.0259112 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-19 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 397 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD PEN BOUGHT USD 20230505 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 22EBKBB76BS |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | -15595.510000 |
f. Exchange rate. | 3.770900 |
g. Percentage value compared to net assets of the Fund. | -0.0026967 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1253920.510000 |
Description of currency sold. |
Peru Sol
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 316926.710000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-05 |
iv. Unrealized appreciation or depreciation. (24) | -15595.510000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 398 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD PEN BOUGHT USD 20230510 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BQKBB6940 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | -26888.100000 |
f. Exchange rate. | 3.772100 |
g. Percentage value compared to net assets of the Fund. | -0.0046494 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
i. Amount and description of currency sold. |
Amount of currency sold. | 6157442.330000 |
Description of currency sold. |
Peru Sol
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1605465.630000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-10 |
iv. Unrealized appreciation or depreciation. (24) | -26888.100000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 399 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA BILLS 09/23 0.00000 |
d. CUSIP (if any). | ACI28ZVN1 |
At least one of the following other identifiers: |
- ISIN | ARARGE520CV7 |
Balance. (2) |
a. Balance | 80870204.230000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Argentina Peso
|
e. Value. (4) | 193263.490000 |
f. Exchange rate. | 410.840000 |
g. Percentage value compared to net assets of the Fund. | 0.0334186 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-09-18 |
b. Coupon. |
i. Coupon category. (13) | None |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 400 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA BONDS 07/30 VAR |
d. CUSIP (if any). | ACI1QL1T4 |
At least one of the following other identifiers: |
- ISIN | ARARGE3209S6 |
Balance. (2) |
a. Balance | 3626146.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 915601.870000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1583233 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-07-09 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 401 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA BONDS 07/35 VAR |
d. CUSIP (if any). | ACI1QL1M9 |
At least one of the following other identifiers: |
- ISIN | ARARGE3209T4 |
Balance. (2) |
a. Balance | 3741000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 920323.410000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1591397 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-07-09 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 1.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 402 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230502 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CWKBBQWWB |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -910.330000 |
f. Exchange rate. | 0.920600 |
g. Percentage value compared to net assets of the Fund. | -0.0001574 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP Paribas S.A. | N/A |
i. Amount and description of currency sold. |
Amount of currency sold. | 360442.880000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 331000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-05-02 |
iv. Unrealized appreciation or depreciation. (24) | -910.330000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 403 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA BONDS 10/26 15.5 |
d. CUSIP (if any). | ACI0QD081 |
At least one of the following other identifiers: |
- ISIN | ARARGE4502K0 |
Balance. (2) |
a. Balance | 61630000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Argentina Peso
|
e. Value. (4) | 46248.000000 |
f. Exchange rate. | 410.840000 |
g. Percentage value compared to net assets of the Fund. | 0.0079971 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-10-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 15.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 404 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR |
d. CUSIP (if any). | 040114HU7 |
At least one of the following other identifiers: |
- ISIN | US040114HU71 |
Balance. (2) |
a. Balance | 11605082.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3620466.440000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6260408 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2038-01-09 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 3.875 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 405 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1 |
d. CUSIP (if any). | 040114HX1 |
At least one of the following other identifiers: |
- ISIN | US040114HX11 |
Balance. (2) |
a. Balance | 682947.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 190712.950000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0329775 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 406 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD EUR BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CIKBBXKVZ |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -106456.310000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.0184081 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP Paribas S.A. | N/A |
i. Amount and description of currency sold. |
Amount of currency sold. | 6255000.000000 |
Description of currency sold. |
Euro Member Countries
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 6677090.530000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -106456.310000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 407 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOMBARDIER INC SNR S* ICE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWPC0KW65 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 108795.160000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0188126 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | BOMBARDIER INC |
Title of issue. | BOMBARDIER INC SR UNSEC REGS |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | USC10602AJ68 |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2027-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -37583.130000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 1300000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 146378.290000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 408 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR |
d. CUSIP (if any). | 040114HV5 |
At least one of the following other identifiers: |
- ISIN | US040114HV54 |
Balance. (2) |
a. Balance | 5511585.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1548755.390000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2678064 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2041-07-09 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 3.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 409 |
a. Name of issuer (if any). | ARGENTINA GOVT |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR |
d. CUSIP (if any). | 040114HW3 |
At least one of the following other identifiers: |
- ISIN | US040114HW38 |
Balance. (2) |
a. Balance | 114993.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 30666.910000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0053028 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-07-09 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 1.5 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 410 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT BRL SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CWKBB7QTB |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | 3023.890000 |
f. Exchange rate. | 5.068500 |
g. Percentage value compared to net assets of the Fund. | 0.0005229 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1282543.380000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 6515833.410000 |
Description of currency purchased. |
Brazil Real
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 3023.890000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 411 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT MXN SOLD USD 20230621 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CHKBB2DKQ |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | 7005.890000 |
f. Exchange rate. | 18.294500 |
g. Percentage value compared to net assets of the Fund. | 0.0012114 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 305428.030000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 5715814.070000 |
Description of currency purchased. |
Mexico Peso
|
iii. Settlement date. | 2023-06-21 |
iv. Unrealized appreciation or depreciation. (24) | 7005.890000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 412 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD BRL BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BPKBB555L |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | -29345.590000 |
f. Exchange rate. | 5.068500 |
g. Percentage value compared to net assets of the Fund. | -0.0050744 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 6515833.410000 |
Description of currency sold. |
Brazil Real
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1256221.680000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -29345.590000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 413 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD CAD BOUGHT USD 20230516 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BIKBB7K4K |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Canada Dollar
|
e. Value. (4) | 32964.080000 |
f. Exchange rate. | 1.350600 |
g. Percentage value compared to net assets of the Fund. | 0.0057001 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 3670743.830000 |
Description of currency sold. |
Canada Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2750804.000000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-16 |
iv. Unrealized appreciation or depreciation. (24) | 32964.080000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 414 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD GBP BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CGKBBNRPG |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | -86316.110000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | -0.0149255 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1927000.000000 |
Description of currency sold. |
United Kingdom Pound
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2290829.740000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -86316.110000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 415 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD GBP BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CJKBBXGXQ |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | -4777.010000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | -0.0008260 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 336000.000000 |
Description of currency sold. |
United Kingdom Pound
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 409712.350000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -4777.010000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 416 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD GBP BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CNKBBS49B |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | -29173.880000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | -0.0050447 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 2287000.000000 |
Description of currency sold. |
United Kingdom Pound
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2792067.710000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -29173.880000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 417 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD PEN BOUGHT USD 20230515 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 22KGKBB2PSR |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | -19283.440000 |
f. Exchange rate. | 3.773300 |
g. Percentage value compared to net assets of the Fund. | -0.0033344 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1482999.480000 |
Description of currency sold. |
Peru Sol
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 373739.790000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-15 |
iv. Unrealized appreciation or depreciation. (24) | -19283.440000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 418 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD PEN BOUGHT USD 20230814 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BHKBB3ZC4 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | -14886.580000 |
f. Exchange rate. | 3.792700 |
g. Percentage value compared to net assets of the Fund. | -0.0025741 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1941973.000000 |
Description of currency sold. |
Peru Sol
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 497138.720000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-08-14 |
iv. Unrealized appreciation or depreciation. (24) | -14886.580000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 419 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT BRL SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CKKBB9CK2 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | 64053.550000 |
f. Exchange rate. | 5.068500 |
g. Percentage value compared to net assets of the Fund. | 0.0110760 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1231842.970000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 6568186.720000 |
Description of currency purchased. |
Brazil Real
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 64053.550000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 420 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CTKBBRDX2 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 177093.420000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0306225 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
i. Amount and description of currency sold. |
Amount of currency sold. | 83330154.290000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 77000697.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 177093.420000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 421 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD BRL BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CWKBB71MP |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | -3048.180000 |
f. Exchange rate. | 5.068500 |
g. Percentage value compared to net assets of the Fund. | -0.0005271 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
i. Amount and description of currency sold. |
Amount of currency sold. | 6568186.720000 |
Description of currency sold. |
Brazil Real
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1292848.340000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -3048.180000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 422 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD BRL BOUGHT USD 20230705 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CKKBB9CHR |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | -62830.480000 |
f. Exchange rate. | 5.155400 |
g. Percentage value compared to net assets of the Fund. | -0.0108645 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
i. Amount and description of currency sold. |
Amount of currency sold. | 6674494.760000 |
Description of currency sold. |
Brazil Real
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1231842.970000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-07-05 |
iv. Unrealized appreciation or depreciation. (24) | -62830.480000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 423 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD EUR BOUGHT USD 20230502 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CTKBBRDN6 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -174410.620000 |
f. Exchange rate. | 0.920600 |
g. Percentage value compared to net assets of the Fund. | -0.0301586 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
i. Amount and description of currency sold. |
Amount of currency sold. | 77000697.000000 |
Description of currency sold. |
Euro Member Countries
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 83463827.500000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-02 |
iv. Unrealized appreciation or depreciation. (24) | -174410.620000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 424 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ESKOM GG LOAN SNR EM SP DUB |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SWPCESK17 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1123.750000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0001943 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | N/A |
Title of issue. | ESKOM HOLDINGS SOC LTD |
At least one of the following other identifiers: |
- Ticker (if CUSIP and ISIN are not available). | ESKOM |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 4.650000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2029-06-30 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 2900000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 1123.750000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 425 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZHJ8LK5D907 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 244552.250000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0422873 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | FORD MOTOR CREDIT COMPANY LLC |
Title of issue. | FORD MOTOR CREDIT CO LLC |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | US345397YG20 |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2027-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 328361.520000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 3100000.000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -83809.270000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 426 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT PEN SOLD USD 20230503 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 22JUKBCDN17 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | 94144.800000 |
f. Exchange rate. | 3.770400 |
g. Percentage value compared to net assets of the Fund. | 0.0162793 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1283526.570000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 5194432.030000 |
Description of currency purchased. |
Peru Sol
|
iii. Settlement date. | 2023-05-03 |
iv. Unrealized appreciation or depreciation. (24) | 94144.800000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 427 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT PEN SOLD USD 20230510 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 22KFKBCCS0K |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Peru Sol
|
e. Value. (4) | 72399.190000 |
f. Exchange rate. | 3.772100 |
g. Percentage value compared to net assets of the Fund. | 0.0125191 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1320114.950000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 5252737.390000 |
Description of currency purchased. |
Peru Sol
|
iii. Settlement date. | 2023-05-10 |
iv. Unrealized appreciation or depreciation. (24) | 72399.190000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 428 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230714 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23AFKBCHX8X |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -24016.140000 |
f. Exchange rate. | 56.049700 |
g. Percentage value compared to net assets of the Fund. | -0.0041528 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 45083000.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 780323.580000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-07-14 |
iv. Unrealized appreciation or depreciation. (24) | -24016.140000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 429 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230720 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23AJKBC29PT |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -19676.670000 |
f. Exchange rate. | 56.122700 |
g. Percentage value compared to net assets of the Fund. | -0.0034024 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 34803797.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 600460.940000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-07-20 |
iv. Unrealized appreciation or depreciation. (24) | -19676.670000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 430 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230727 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23AOKBCBKCZ |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -45569.450000 |
f. Exchange rate. | 56.207900 |
g. Percentage value compared to net assets of the Fund. | -0.0078797 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 84979993.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1466317.540000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-07-27 |
iv. Unrealized appreciation or depreciation. (24) | -45569.450000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 431 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230803 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23ATKBCQFWJ |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -3815.340000 |
f. Exchange rate. | 56.293100 |
g. Percentage value compared to net assets of the Fund. | -0.0006597 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 7987000.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 138067.060000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-08-03 |
iv. Unrealized appreciation or depreciation. (24) | -3815.340000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 432 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230803 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BAKBCHNK3 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -6537.560000 |
f. Exchange rate. | 56.293100 |
g. Percentage value compared to net assets of the Fund. | -0.0011305 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 14466000.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 250438.870000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-08-03 |
iv. Unrealized appreciation or depreciation. (24) | -6537.560000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 433 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230810 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BDKBCJK6N |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -2262.340000 |
f. Exchange rate. | 56.378300 |
g. Percentage value compared to net assets of the Fund. | -0.0003912 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 6726188.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 117042.320000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-08-10 |
iv. Unrealized appreciation or depreciation. (24) | -2262.340000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 434 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD DOP BOUGHT USD 20230811 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BGKBCF7RG |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Dominican Republic Peso
|
e. Value. (4) | -9936.330000 |
f. Exchange rate. | 56.390500 |
g. Percentage value compared to net assets of the Fund. | -0.0017182 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
i. Amount and description of currency sold. |
Amount of currency sold. | 35180753.000000 |
Description of currency sold. |
Dominican Republic Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 613941.530000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-08-11 |
iv. Unrealized appreciation or depreciation. (24) | -9936.330000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 435 |
a. Name of issuer (if any). | ASTOUND BROADBAND (RADIATE HOLDCO LLC) |
b. LEI (if any) of issuer. (1) | 5493000GQJ5RDX9DNJ71 |
c. Title of the issue or description of the investment. | RADIATE HOLDCO LLC 2021 TERM LOAN B |
d. CUSIP (if any). | 75025KAH1 |
At least one of the following other identifiers: |
- ISIN | US75025KAH14 |
Balance. (2) |
a. Balance | 6383838.380000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5249845.250000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9077884 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-09-25 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.0903 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 436 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BSKBBQVDR |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 16014.940000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0027693 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
i. Amount and description of currency sold. |
Amount of currency sold. | 808204.980000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 760000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 16014.940000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 437 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CAKBB0GGL |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 17781.260000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0030747 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1364956.100000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1275000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 17781.260000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 438 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CNKBBS5PX |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 34532.190000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.0059712 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
i. Amount and description of currency sold. |
Amount of currency sold. | 2692985.040000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2515000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 34532.190000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 439 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CUKBBPJ63 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -1353.980000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.0002341 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1193219.360000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1099000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -1353.980000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 440 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD EUR BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CLKBBV8KD |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -34189.170000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.0059119 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1492000.000000 |
Description of currency sold. |
Euro Member Countries
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1583884.670000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -34189.170000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 441 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD GBP BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CAKBBVQ8C |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | -29575.190000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | -0.0051141 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1137000.000000 |
Description of currency sold. |
United Kingdom Pound
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1373027.210000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -29575.190000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 442 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | LU2445091858 |
Balance. (2) |
a. Balance | 24408.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 170856.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0295439 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Warrant
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/A |
ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | INTELSAT JACKSON HOLDINGS SA |
Title of issue. | INTELSAT JACKSON HOLDINGS SA |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | 9844VD984 |
If other identifier provided, indicate the type of identifier used. | Internal ID |
iv. Number of shares or principal amount of underlying reference instrument per contract. |
Number of shares. | N/A |
v. Exercise price or rate. | 0.000000 |
vi. Exercise Price Currency Code |
United States Dollar
|
vii. Expiration date. | 2025-12-05 |
viii. Delta. | XXXX |
ix. Unrealized appreciation or depreciation. (24) | 170856.000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 443 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | INTELSAT JACKSON HOLDINGS S A RIGHTS |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | LU2445092583 |
Balance. (2) |
a. Balance | 24544.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 153400.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0265255 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Warrant
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/A |
ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | INTELSAT JACKSON HOLDINGS SA |
Title of issue. | INTELSAT JACKSON HOLDINGS SA |
At least one of the following other identifiers: |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | 9844VD984 |
If other identifier provided, indicate the type of identifier used. | Internal ID |
iv. Number of shares or principal amount of underlying reference instrument per contract. |
Number of shares. | N/A |
v. Exercise price or rate. | 0.000000 |
vi. Exercise Price Currency Code |
United States Dollar
|
vii. Expiration date. | 2025-12-05 |
viii. Delta. | XXXX |
ix. Unrealized appreciation or depreciation. (24) | 153400.000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 444 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | INTELSAT EMERGENCE SA CALL EXP 17FEB27 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | LU2445094365 |
Balance. (2) |
a. Balance | 122.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 122.000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0000211 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Warrant
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/A |
ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | INTELSAT SA |
Title of issue. | INTELSAT SA/LUXEMBOURG |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | LU2445093128 |
iv. Number of shares or principal amount of underlying reference instrument per contract. |
Number of shares. | N/A |
v. Exercise price or rate. | 77.220000 |
vi. Exercise Price Currency Code |
United States Dollar
|
vii. Expiration date. | 2027-02-17 |
viii. Delta. | XXXX |
ix. Unrealized appreciation or depreciation. (24) | -5386769.070000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 445 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | INTELSAT EMERGENCE SA CALL EXP17FEB27 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | LU2445093987 |
Balance. (2) |
a. Balance | 279.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 627.750000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0001085 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Warrant
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/A |
ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | INTELSAT SA |
Title of issue. | INTELSAT SA/LUXEMBOURG |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | LU2445093128 |
iv. Number of shares or principal amount of underlying reference instrument per contract. |
Number of shares. | N/A |
v. Exercise price or rate. | 60.150000 |
vi. Exercise Price Currency Code |
United States Dollar
|
vii. Expiration date. | 2027-02-17 |
viii. Delta. | XXXX |
ix. Unrealized appreciation or depreciation. (24) | -1011.370000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 446 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZJZYMPHKKQ8 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -31007.760000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.0053618 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC) |
Title of issue. | JAGUAR LAND ROVER AUTOMO |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | XS1025866119 |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.000000 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2026-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 49193.450000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 700000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | -80201.210000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 447 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZ1M92JN6JV3 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -65576.540000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.0113393 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC) |
Title of issue. | JAGUAR LAND ROVER AUTOMO SR UNSEC REGS |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | XS1551347393 |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.000000 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2026-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 38744.200000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 1000000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | -104320.740000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 448 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD GBP BOUGHT USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CHKBBNLVB |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | -44848.030000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | -0.0077550 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1283000.000000 |
Description of currency sold. |
United Kingdom Pound
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1537859.870000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | -44848.030000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 449 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ROLLS-ROYCE PLC SNR SE ICE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | EZF6LK95JXZ4 |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -48964.480000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | -0.0084668 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | ROLLS-ROYCE PLC |
Title of issue. | ROLLS-ROYCE PLC |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | XS0944838241 |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.000000 |
Receipts: Base currency. |
Euro Member Countries
|
Receipts: Amount. | 0.000000 |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Single Leg Swap |
ii. Termination or maturity date. | 2025-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.000000 |
ISO Currency Code. |
Euro Member Countries
|
Upfront receipts. | -277656.150000 |
ISO Currency Code. |
Euro Member Countries
|
iv. Notional amount. | 2600000.000000 |
ISO Currency Code. | EUR |
v. Unrealized appreciation or depreciation. (24) | 228691.670000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 450 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT GBP SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23COKBBPJ81 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 18071.180000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.0031248 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
i. Amount and description of currency sold. |
Amount of currency sold. | 2590991.330000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2115000.000000 |
Description of currency purchased. |
United Kingdom Pound
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 18071.180000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 451 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT GBP SOLD USD 20230404 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CUKBB755W |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | 6308.090000 |
f. Exchange rate. | 0.810600 |
g. Percentage value compared to net assets of the Fund. | 0.0010908 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
i. Amount and description of currency sold. |
Amount of currency sold. | 5982816.500000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 4855000.000000 |
Description of currency purchased. |
United Kingdom Pound
|
iii. Settlement date. | 2023-04-04 |
iv. Unrealized appreciation or depreciation. (24) | 6308.090000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 452 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT MXN SOLD USD 20230621 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BPKBB59XW |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | 12.110000 |
f. Exchange rate. | 18.294500 |
g. Percentage value compared to net assets of the Fund. | 0.0000021 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
i. Amount and description of currency sold. |
Amount of currency sold. | 416.000000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 7832.030000 |
Description of currency purchased. |
Mexico Peso
|
iii. Settlement date. | 2023-06-21 |
iv. Unrealized appreciation or depreciation. (24) | 12.110000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 453 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD GBP BOUGHT USD 20230502 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CUKBB7524 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United Kingdom Pound
|
e. Value. (4) | -6387.760000 |
f. Exchange rate. | 0.810200 |
g. Percentage value compared to net assets of the Fund. | -0.0011046 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
i. Amount and description of currency sold. |
Amount of currency sold. | 4855000.000000 |
Description of currency sold. |
United Kingdom Pound
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 5986229.570000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-02 |
iv. Unrealized appreciation or depreciation. (24) | -6387.760000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 454 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD MXN BOUGHT USD 20230515 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BIKBCNLRP |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | -3024.650000 |
f. Exchange rate. | 18.164100 |
g. Percentage value compared to net assets of the Fund. | -0.0005230 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1358169.990000 |
Description of currency sold. |
Mexico Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 71747.720000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-15 |
iv. Unrealized appreciation or depreciation. (24) | -3024.650000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 455 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD MXN BOUGHT USD 20230714 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BHKBB5QNC |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | -57.790000 |
f. Exchange rate. | 18.376900 |
g. Percentage value compared to net assets of the Fund. | -0.0000100 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
i. Amount and description of currency sold. |
Amount of currency sold. | 23643.660000 |
Description of currency sold. |
Mexico Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1228.810000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-07-14 |
iv. Unrealized appreciation or depreciation. (24) | -57.790000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 456 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BOUGHT EUR SOLD USD 20230502 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23CWKBB6MNF |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | -2158.030000 |
f. Exchange rate. | 0.920600 |
g. Percentage value compared to net assets of the Fund. | -0.0003732 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
i. Amount and description of currency sold. |
Amount of currency sold. | 1195892.990000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 1099000.000000 |
Description of currency purchased. |
Euro Member Countries
|
iii. Settlement date. | 2023-05-02 |
iv. Unrealized appreciation or depreciation. (24) | -2158.030000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 457 |
a. Name of issuer (if any). | AVOCA CLO XX DAC 20A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | AVOCA CLO AVOCA 20A SUB 144A |
d. CUSIP (if any). | ACI19ZJ22 |
At least one of the following other identifiers: |
- ISIN | XS1970750151 |
Balance. (2) |
a. Balance | 2230000.000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 1377917.720000 |
f. Exchange rate. | 0.922100 |
g. Percentage value compared to net assets of the Fund. | 0.2382656 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-07-15 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 458 |
a. Name of issuer (if any). | N/A |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOLD CHF BOUGHT USD 20230516 |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 23BJKBBXL44 |
Description of other unique identifier. | Internal ID |
Balance. (2) |
a. Balance | 1.000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
Switzerland Franc
|
e. Value. (4) | 6427.530000 |
f. Exchange rate. | 0.910800 |
g. Percentage value compared to net assets of the Fund. | 0.0011114 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
i. Amount and description of currency sold. |
Amount of currency sold. | 2629878.450000 |
Description of currency sold. |
Switzerland Franc
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2893806.000000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-05-16 |
iv. Unrealized appreciation or depreciation. (24) | 6427.530000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
Explanatory Note Record | Note Item | Explanatory Notes |
---|---|---|
#1 | B.2.f | A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D. This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f. |
#2 | B.5.a | Total returns do not deduct sales loads and redemption fees. |
#3 | C.11.c.vi | To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500. |
#4 | C.11.d.iii | To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500. |
#5 | C.11.e.iii | To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500. |
#6 | C.11.f.ii | To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500. |
#7 | C.5.a | The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list. Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A. |
The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
Registrant: | PIMCO Income Strategy Fund II |
By (Signature): | /s/ Bijal Parikh |
Name: | Bijal Parikh |
Title: | Treasurer |
Date: | 2023-05-12 |