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| Share Name | Share Symbol | Market | Type |
|---|---|---|---|
| Western Asset Diversified Income Fund | NYSE:WDI | NYSE | Common Stock |
| Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.12 | 0.82% | 14.79 | 14.83 | 14.6859 | 14.70 | 440,004 | 01:00:00 |
|
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 | 0001819559 |
| 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 | Western Asset Diversified Income Fund |
| b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-23598 |
| c. CIK number of Registrant | 0001819559 |
| d. LEI of Registrant | 549300M67UHXW4GHZ644 |
| e. Address and telephone number of Registrant: |
| i. Street Address 1 | 620 EIGHTH AVENUE |
| ii. Street Address 2 | 47TH FLOOR |
| iii. City | NEW YORK |
| iv. State, if applicable | |
| v. Foreign country, if applicable | |
| vi. Zip / Postal Code | 10018 |
| vii. Telephone number | 1-888-777-0102 |
| a. Name of Series. | Western Asset Diversified Income Fund |
| b. EDGAR series identifier (if any). | |
| c. LEI of Series. | 549300M67UHXW4GHZ644 |
| a. Date of fiscal year-end. | 2023-12-31 |
| 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. | 1166192791.50 |
| b. Total liabilities. | 384733322.53 |
| c. Net assets. | 781459468.97 |
| a. Assets attributable to miscellaneous securities reported in Part D. | 0.00000000 |
| 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. | 0.00000000 |
| 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. | 358000000.00000000 |
| Controlled companies. | 0.00000000 |
| Other affiliates. | 0.00000000 |
| Others. | 0.00000000 |
| Amounts payable after one year. | |
| Banks or other financial institutions for borrowings. | 0.00000000 |
| Controlled companies. | 0.00000000 |
| Other affiliates. | 0.00000000 |
| Others. | 0.00000000 |
| 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: | 0.00000000 |
| (ii) On a standby commitment basis: | 0.00000000 |
| e. Liquidation preference of outstanding preferred stock issued by the Fund. | 0.00000000 |
| f. Cash and cash equivalents not reported in Parts C and D. | 16603335.55000000 |
| 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 Kingdom Pound | |||||
| Interest Rate Risk (DV01) | ||||||
| 1194.37000000 | 1317.22000000 | 1021.04000000 | 0.00000000 | 0.00000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 119437.34000000 | 131722.01000000 | 102103.93000000 | 0.00000000 | 0.00000000 | ||
| #2 | United States Dollar | |||||
| Interest Rate Risk (DV01) | ||||||
| -23959.94000000 | 31668.94000000 | 186692.22000000 | 79568.55000000 | 2971.63000000 | ||
| Interest Rate Risk (DV100) | ||||||
| -2395994.01000000 | 3166893.59000000 | 18669222.13000000 | 7956855.14000000 | 297163.40000000 | ||
| 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 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 |
| Non-Investment grade | -9773.78000000 | 108044.43000000 | 232236.65000000 | 55863.68000000 | -5099.44000000 |
|
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 | 12.40000000 | -0.30000000 | -3.95000000 | C000000000 |
| 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 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Credit Contracts | 0.00000000 | 38983.33000000 | 0.00000000 | 6035.33000000 | 0.00000000 | 14609.76000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 38983.33000000 | 0.00000000 | 6035.33000000 | 0.00000000 | 14609.76000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Equity Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Foreign Exchange Contracts | -734667.28000000 | 56246.49000000 | 0.00000000 | 320212.76000000 | 98142.39000000 | -146938.09000000 | |
| Forward | -734667.28000000 | 56246.49000000 | 0.00000000 | 320212.76000000 | 0.00000000 | -182359.49000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 98142.39000000 | 35421.40000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Interest Rate Contracts | -1405057.23000000 | 5572615.23000000 | -3286356.99000000 | -1430342.62000000 | 1739342.89000000 | 5178213.10000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | -1405057.23000000 | 6340158.88000000 | -3353623.11000000 | -2904299.47000000 | 1911694.16000000 | 6506350.68000000 | |
| Option | 0.00000000 | 24819.70000000 | 67266.12000000 | -8744.25000000 | -172351.27000000 | 77218.57000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | -792363.35000000 | 0.00000000 | 1482701.10000000 | 0.00000000 | -1405356.15000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| 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 | -3132486.79000000 | 39119993.99000000 |
| Month 2 | -6499008.96000000 | 826811.05000000 |
| Month 3 | -6391144.97000000 | -13103619.36000000 |
| 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 | 0.00000000 | 0.00000000 | 0.00000000 |
| Month 2 | 0.00000000 | 0.00000000 | 0.00000000 |
| Month 3 | 0.00000000 | 0.00000000 | 0.00000000 |
| 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). | AMC ENTERTAINMENT HLDGS |
| b. LEI (if any) of issuer. (1) | 549300ZO77UNR6NRBR11 |
| c. Title of the issue or description of the investment. | AMC Entertainment Holdings Inc |
| d. CUSIP (if any). | 00165CBA1 |
| At least one of the following other identifiers: |
| - ISIN | US00165CBA18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZPWN0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4780000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3307162.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.423203330603 |
| 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. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | Three-Month SOFR |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SFRZ4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG00QFWY8M6 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 141.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 88616.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.011339858753 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | THE SECURED OVERNIGHT FINANCING RATE |
| Title of issue. | THE SECURED OVERNIGHT FINANCING RATE |
| At least one of the following other identifiers: |
| - CUSIP. | 000000000 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | SOFR_RATE_US |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2025-03-18 |
| iv. Aggregate notional amount or contract value on trade date. | 34059821.10000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 88616.40000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | QVC INC |
| b. LEI (if any) of issuer. (1) | 549300WBLU5NKPX5X472 |
| c. Title of the issue or description of the investment. | QVC Inc |
| d. CUSIP (if any). | 747262AZ6 |
| At least one of the following other identifiers: |
| - ISIN | US747262AZ65 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6CQM0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2438310.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.312020021104 |
| 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. | 2028-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CRESTWOOD EQUITY PARTNER |
| b. LEI (if any) of issuer. (1) | 549300CUY0F1TYDLDL45 |
| c. Title of the issue or description of the investment. | Crestwood Equity Partners LP |
| d. CUSIP (if any). | 226344307 |
| At least one of the following other identifiers: |
| - ISIN | US2263443077 |
| - Ticker (if ISIN is not available). | CEQP |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6975000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.892560686377 |
| 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: 5 |
| a. Name of issuer (if any). | Magnetite CLO Ltd |
| b. LEI (if any) of issuer. (1) | 549300F7COUCG1RROP29 |
| c. Title of the issue or description of the investment. | Magnetite XXVI Ltd |
| d. CUSIP (if any). | 55955CAE2 |
| At least one of the following other identifiers: |
| - ISIN | US55955CAE21 |
| Balance. (2) |
| a. Balance | 6750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6223266.89000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.796364640408 |
| 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. | 2034-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.76771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRANSALTA CORP |
| b. LEI (if any) of issuer. (1) | GJZNVO2UY6DNFNIYH321 |
| c. Title of the issue or description of the investment. | TransAlta Corp |
| d. CUSIP (if any). | 89346DAE7 |
| At least one of the following other identifiers: |
| - ISIN | US89346DAE76 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B640X20 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3687355.96000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.471855048971 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2040-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WORLDWIDE EXPRESS INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Worldwide Express Inc |
| d. CUSIP (if any). | 00435UAE8 |
| At least one of the following other identifiers: |
| - ISIN | US00435UAE82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3675891 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5915000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.756917055186 |
| 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. | 2029-07-26 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.83060000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENERGY TRANSFER LP |
| b. LEI (if any) of issuer. (1) | MTLVN9N7JE8MIBIJ1H73 |
| c. Title of the issue or description of the investment. | Energy Transfer LP |
| d. CUSIP (if any). | 29273VAM2 |
| At least one of the following other identifiers: |
| - ISIN | US29273VAM28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHR7W8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9842000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8301727.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.062336222112 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS075820 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -354479.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.04536123933 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Receipts: Floating rate Spread. | 0.00000000 |
| Receipt: Floating Rate Reset Dates. | Day |
| Receipt: Floating Rate Reset Dates Unit. | 1 |
| Receipts: Floating Rate Tenor. | Month |
| Receipts: Floating Rate Tenor Unit. | 12 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | 11900000.00000000 |
| 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. | 3.85000000 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | N/A |
| ii. Termination or maturity date. | 2029-06-30 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 14915.24000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | -11900000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | -369394.94000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | APOLLO CMMRL REAL EST FI |
| b. LEI (if any) of issuer. (1) | 549300E0AN7M2AQHSY29 |
| c. Title of the issue or description of the investment. | Apollo Commercial Real Estate Finance Inc |
| d. CUSIP (if any). | 03762UAD7 |
| At least one of the following other identifiers: |
| - ISIN | US03762UAD72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNSPQB0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2289527.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.292980965860 |
| 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. | 4.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TITAN INTERNATIONAL INC |
| b. LEI (if any) of issuer. (1) | 254900CXRGBE7C4B5A06 |
| c. Title of the issue or description of the investment. | Titan International Inc |
| d. CUSIP (if any). | 88830MAM4 |
| At least one of the following other identifiers: |
| - ISIN | US88830MAM47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF0LT4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6313510.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.807912662229 |
| 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. | 2028-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROCC HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 6XOCUKRR0UU0LF5P1W14 |
| c. Title of the issue or description of the investment. | ROCC Holdings LLC |
| d. CUSIP (if any). | 70789PAA2 |
| At least one of the following other identifiers: |
| - ISIN | US70789PAA21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKK4Z3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8439029.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.079906254271 |
| 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. | 9.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CREDIT SUISSE NEW YORK |
| b. LEI (if any) of issuer. (1) | 549300D0YARF5HYP1809 |
| c. Title of the issue or description of the investment. | Credit Suisse AG/New York NY |
| d. CUSIP (if any). | 22546QAP2 |
| At least one of the following other identifiers: |
| - ISIN | US22546QAP28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQR7XJ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 680000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 647883.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.082906871786 |
| 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. | 2024-09-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | River Haus 2021 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | River Haus 2021 |
| 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 | ZZZ161101 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 8500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8499930.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.087699520898 |
| 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. | 2024-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.95000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHART INDUSTRIES INC |
| b. LEI (if any) of issuer. (1) | EM7QGKC1GYOF3LSZSL80 |
| c. Title of the issue or description of the investment. | Chart Industries Inc |
| d. CUSIP (if any). | 16115QAF7 |
| At least one of the following other identifiers: |
| - ISIN | US16115QAF72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLC8Z03 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3103410.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.397130001392 |
| 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. | 2030-01-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Elmwood CLO II Ltd. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Elmwood CLO II Ltd |
| d. CUSIP (if any). | 29001RAC2 |
| At least one of the following other identifiers: |
| - ISIN | US29001RAC25 |
| Balance. (2) |
| a. Balance | 4600000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3392071.96000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.434068828223 |
| 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. | 2034-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LD HOLDINGS GROUP LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LD Holdings Group LLC |
| d. CUSIP (if any). | 521088AA2 |
| At least one of the following other identifiers: |
| - ISIN | US521088AA24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG71S0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3156300.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.403898106725 |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Morgan Stanley Capital I Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Morgan Stanley Capital I Trust 2021-L6 |
| d. CUSIP (if any). | 61692CAL2 |
| At least one of the following other identifiers: |
| - ISIN | US61692CAL28 |
| Balance. (2) |
| a. Balance | 7195000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3540853.77000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.453107795170 |
| 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. | 2054-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 2.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | CAD CALL VERSUS USD PUT |
| 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 | FXUSCAP0067 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5660000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66151.57000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.008465131286 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| Identification of investment. |
| Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of issuer. (22) | FOR8UP27PHTHYVLBNG30 |
| Title of the issue or description of the investment. | CAD CALL VERSUS USD PUT |
| 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 | LMF2900_FXUSCAP0067_5_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Canada Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Canada Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-06-09 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 5660000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.35050000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-06-09 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 27482.45000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS076828 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 40734.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.005212588959 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | 3.40000000 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | N/A |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Payments: Floating rate Spread. | 0.00000000 |
| Payment: Floating Rate Reset Dates. | Day |
| Payment: Floating Rate Reset Dates Unit. | 1 |
| Payment: Floating Rate Tenor. | Year |
| Payment: Floating Rate Tenor Unit. | 1 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | -3303000.00000000 |
| ii. Termination or maturity date. | 2029-12-31 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | -691.83000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | 3303000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | 41426.10000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928723 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -2564340.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -2564340.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.32814753698 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.15000000 |
| e. Maturity date. | 2029-03-08 |
| 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 | 6000000.00000000 | United States Dollar | 4988901.00000000 | 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: 22 |
| a. Name of issuer (if any). | Babson CLO Ltd |
| b. LEI (if any) of issuer. (1) | 549300Q89L7I93JSRH83 |
| c. Title of the issue or description of the investment. | Barings CLO Ltd 2020-IV |
| d. CUSIP (if any). | 06762DAA4 |
| At least one of the following other identifiers: |
| - ISIN | US06762DAA46 |
| Balance. (2) |
| a. Balance | 1090000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 935111.52000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.119662190699 |
| 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. | 2032-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.48771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHINA AOYUAN GROUP LTD |
| b. LEI (if any) of issuer. (1) | 549300YSOKQO5QD6MP25 |
| c. Title of the issue or description of the investment. | China Aoyuan Group Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2196807833 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB3JH1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 289592.42000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.037057893787 |
| 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. | 2024-02-08 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.35000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KNIGHT HEALTH HOLDINGS L |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Knight Health Holdings LLC |
| d. CUSIP (if any). | 49902TAB8 |
| At least one of the following other identifiers: |
| - ISIN | US49902TAB89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3788330 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4950000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2627633.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.336246901386 |
| 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. | 2028-12-23 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.09530000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | STRATHCONA RESOURCES |
| b. LEI (if any) of issuer. (1) | 549300YNIUISTSZMLF56 |
| c. Title of the issue or description of the investment. | Strathcona Resources Ltd/Alberta |
| d. CUSIP (if any). | 86304TAA6 |
| At least one of the following other identifiers: |
| - ISIN | US86304TAA60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP37WV7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3184923.24000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.407560899376 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PARK-OHIO INDUSTRIES INC |
| b. LEI (if any) of issuer. (1) | 5493006LQUO5SLMNYM18 |
| c. Title of the issue or description of the investment. | Park-Ohio Industries Inc |
| d. CUSIP (if any). | 700677AR8 |
| At least one of the following other identifiers: |
| - ISIN | US700677AR89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF5QHF1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5815749.08000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.744216342744 |
| 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. | 2027-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BAUSCH HEALTH COS INC |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | Bausch Health Cos Inc |
| d. CUSIP (if any). | 071734AK3 |
| At least one of the following other identifiers: |
| - ISIN | US071734AK34 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDHPY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7616000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3049370.24000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.390214766226 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2029-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Greenwood Park CLO, Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Greenwood Park CLO Ltd |
| d. CUSIP (if any). | 39729TAA2 |
| At least one of the following other identifiers: |
| - ISIN | US39729TAA25 |
| Balance. (2) |
| a. Balance | 1570000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1252764.54000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.160310878522 |
| 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. | 2031-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.74243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LADDER CAP FIN LLLP/CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp |
| d. CUSIP (if any). | 505742AP1 |
| At least one of the following other identifiers: |
| - ISIN | US505742AP10 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNHV192 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5067405.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.648453976337 |
| 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. | 4.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SMB Private Education Loan Tru |
| b. LEI (if any) of issuer. (1) | 549300GD7VLLBVPDNJ81 |
| c. Title of the issue or description of the investment. | SMB Private Education Loan Trust 2015-C |
| d. CUSIP (if any). | 78448R106 |
| At least one of the following other identifiers: |
| - ISIN | US78448R1068 |
| Balance. (2) |
| a. Balance | 7570.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2458331.71000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.314582113035 |
| 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) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS SECURITIES CORP. |
| b. LEI (if any) of issuer. (1) | RCNB6OTYUAMMP879YW96 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLPK06HPG7E93388 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 49015.49000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.006272300988 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -2806079.29000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 2630000.00000000 |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | 49015.49000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Marathon CLO LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Marathon CLO XIII Ltd |
| d. CUSIP (if any). | 56579AAQ3 |
| At least one of the following other identifiers: |
| - ISIN | US56579AAQ31 |
| Balance. (2) |
| a. Balance | 4625000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3986544.83000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.510140959102 |
| 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. | 2032-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.86243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AKUMIN ESCROW INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Akumin Escrow Inc |
| d. CUSIP (if any). | 01021FAB5 |
| At least one of the following other identifiers: |
| - ISIN | US01021FAB58 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYXQV1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7395000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5183633.36000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.663327218599 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2028-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CNTRL PARENT/CDK GLB INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Central Parent Inc / CDK Global Inc |
| d. CUSIP (if any). | 15477CAA3 |
| At least one of the following other identifiers: |
| - ISIN | US15477CAA36 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN33PP6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1967557.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.251779865511 |
| 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. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Park Avenue Institutional Advi |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Park Avenue Institutional Advisers CLO Ltd 2019-1 |
| d. CUSIP (if any). | 70017XAA9 |
| At least one of the following other identifiers: |
| - ISIN | US70017XAA90 |
| Balance. (2) |
| a. Balance | 6950000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5945068.19000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.760764751860 |
| 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. | 2032-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.71357000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIVE POINT OP CO LP/FIVE |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Five Point Operating Co LP / Five Point Capital Corp |
| d. CUSIP (if any). | 33834YAA6 |
| At least one of the following other identifiers: |
| - ISIN | US33834YAA64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDVNGP5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2251887.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.288164337296 |
| 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. | 2025-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GS Mortgage Securities Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GS Mortgage Securities Corp Trust 2021-ARDN |
| d. CUSIP (if any). | 36266CAS5 |
| At least one of the following other identifiers: |
| - ISIN | US36266CAS52 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4509791.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.577098580166 |
| 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. | 2026-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.61763100 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BSREP Commercial Mortgage Trus |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BSREP Commercial Mortgage Trust 2021-DC |
| d. CUSIP (if any). | 05591UAQ0 |
| At least one of the following other identifiers: |
| - ISIN | US05591UAQ04 |
| Balance. (2) |
| a. Balance | 18664000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14926472.41000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.910076338274 |
| 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. | 2038-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.18500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NORTHERN OIL AND GAS INC |
| b. LEI (if any) of issuer. (1) | OKFF0PIZDDMNH4UCYE51 |
| c. Title of the issue or description of the investment. | Northern Oil and Gas Inc |
| d. CUSIP (if any). | 665531AG4 |
| At least one of the following other identifiers: |
| - ISIN | US665531AG42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8C3G8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 992850.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.127050735121 |
| 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. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DISH DBS CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DISH DBS Corp |
| d. CUSIP (if any). | 25470XBF1 |
| At least one of the following other identifiers: |
| - ISIN | US25470XBF15 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRLZ34 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3366562.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.430804492578 |
| 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. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | New Residential Mortgage Loan |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | New Residential Mortgage Loan Trust 2020-2A |
| d. CUSIP (if any). | 64830XCJ6 |
| At least one of the following other identifiers: |
| - ISIN | US64830XCJ63 |
| Balance. (2) |
| a. Balance | 4751432.78000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4335987.45000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.554857625017 |
| 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. | 2046-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.74492800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UPBOUND GROUP INC |
| b. LEI (if any) of issuer. (1) | 529900QUHE15UQNCCJ63 |
| c. Title of the issue or description of the investment. | Upbound Group Inc |
| d. CUSIP (if any). | 76009NAL4 |
| At least one of the following other identifiers: |
| - ISIN | US76009NAL47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFNQS7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5465992.16000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.699459457213 |
| 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. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BERRY PETROLEUM CO LLC |
| b. LEI (if any) of issuer. (1) | DQ2XTZKV7SILNNV77403 |
| c. Title of the issue or description of the investment. | Berry Petroleum Co LLC |
| d. CUSIP (if any). | 08580BAA4 |
| At least one of the following other identifiers: |
| - ISIN | US08580BAA44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDFK9Q4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6022000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5655230.09000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.723675419462 |
| 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. | 2026-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WEWORK COS INC |
| b. LEI (if any) of issuer. (1) | 549300D8U9TF7WBED521 |
| c. Title of the issue or description of the investment. | WeWork Cos Inc |
| d. CUSIP (if any). | 96208LAA9 |
| At least one of the following other identifiers: |
| - ISIN | US96208LAA98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFN22B2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3323070.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.425238944814 |
| 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. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VERICAST CORP |
| b. LEI (if any) of issuer. (1) | 549300J73P7FL8TVF308 |
| c. Title of the issue or description of the investment. | Vericast Corp |
| d. CUSIP (if any). | 92348BAA1 |
| At least one of the following other identifiers: |
| - ISIN | US92348BAA17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP96BJ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7020000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7414875.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.948849594179 |
| 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. | 2026-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | CBOT 10 Year US Treasury Note |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | TYM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019PMT181 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 1571.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5212814.59000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.667061414825 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 91282CGB1 |
| - ISIN (if CUSIP is not available). | US91282CGB19 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BMCVF21 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iii. Expiration date. | 2023-06-21 |
| iv. Aggregate notional amount or contract value on trade date. | 175329458.89000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 5212814.59000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ICE FUTURES EUROPE |
| b. LEI (if any) of issuer. (1) | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | Three Month SONIA Index |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SFIZ3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG00KXQXFH3 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 105.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United Kingdom Pound
|
| e. Value. (4) | -172265.94000000 |
| f. Exchange rate. | 0.81063553 |
| g. Percentage value compared to net assets of the Fund. | -0.02204412984 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Future
|
| 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 | ICE FUTURES EUROPE | 549300UF4R84F48NCH34 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | INTERCONTENTIAL EXCHANGE |
| Title of issue. | 90 DAY STERLING RATE |
| At least one of the following other identifiers: |
| - CUSIP. | 000000000 |
| - Ticker (if CUSIP and ISIN are not available). | BP00090D |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BP00090D_RATE_GB |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2024-03-19 |
| iv. Aggregate notional amount or contract value on trade date. | 30332957.11000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | -172265.94000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GREYSTONE SELECT FINANCI |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Greystone Select Financial LLC |
| d. CUSIP (if any). | 39808KAB3 |
| At least one of the following other identifiers: |
| - ISIN | US39808KAB35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3614155 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3435185.18000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3229074.07000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.413210690793 |
| 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. | 2028-06-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.99840000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROYAL CARIBBEAN CRUISES |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | Royal Caribbean Cruises Ltd |
| d. CUSIP (if any). | 780153BL5 |
| At least one of the following other identifiers: |
| - ISIN | US780153BL55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHB6V2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3762500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.481470907884 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LIBERIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AGL CLO 6 LTD |
| b. LEI (if any) of issuer. (1) | 5493008ZSC34VKNPZN79 |
| c. Title of the issue or description of the investment. | AGL CLO 6 LTD |
| d. CUSIP (if any). | 00119WAE7 |
| At least one of the following other identifiers: |
| - ISIN | US00119WAE75 |
| Balance. (2) |
| a. Balance | 6990000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6460157.59000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.826678522241 |
| 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. | 2034-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.30771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Fannie Mae - CAS |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | Fannie Mae Connecticut Avenue Securities |
| d. CUSIP (if any). | 30711XDB7 |
| At least one of the following other identifiers: |
| - ISIN | US30711XDB73 |
| Balance. (2) |
| a. Balance | 2223728.70000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2393983.82000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.306347790904 |
| 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. | 2029-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 15.09529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TWO HARBORS INV CORP |
| b. LEI (if any) of issuer. (1) | 549300ZUIBT6KH4HU823 |
| c. Title of the issue or description of the investment. | Two Harbors Investment Corp |
| d. CUSIP (if any). | 90187BAB7 |
| At least one of the following other identifiers: |
| - ISIN | US90187BAB71 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG4RH5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3010000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2615876.77000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.334742475313 |
| 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. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | Two Harbors Investment Corp | Two Harbors Investment Corp | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 90187B408 | ||
| ISIN (if CUSIP is not available) | US90187B4086 | ||
| Ticker (if CUSIP and ISIN are not available) | TWO | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 33.87530000 | 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: 53 |
| a. Name of issuer (if any). | College Ave Student Loans |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | College Ave Student Loans 2021-B LLC |
| d. CUSIP (if any). | 19425A104 |
| At least one of the following other identifiers: |
| - ISIN | US19425A1043 |
| Balance. (2) |
| a. Balance | 17241.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5454891.41000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.698038942082 |
| 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. | 2052-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS SECURITIES CORP. |
| b. LEI (if any) of issuer. (1) | RCNB6OTYUAMMP879YW96 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FXUSEUP0211 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 11080000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 160445.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.020531542117 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| Identification of investment. |
| Name of issuer (if any). | BNP PARIBAS SECURITIES CORP. |
| LEI (if any) of issuer. (22) | RCNB6OTYUAMMP879YW96 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | LMF2900_FXUSEUP0211_49_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-05-31 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 11080000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.08620000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-05-31 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 66265.68000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SMR 2022-IND Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SMR 2022-IND Mortgage Trust |
| d. CUSIP (if any). | 78458MAL8 |
| At least one of the following other identifiers: |
| - ISIN | US78458MAL81 |
| Balance. (2) |
| a. Balance | 2373195.29000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2185756.29000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.279701811391 |
| 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. | 2039-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.82709000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Great Wolf Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Great Wolf Trust 2019-WOLF |
| d. CUSIP (if any). | 39152TAN0 |
| At least one of the following other identifiers: |
| - ISIN | US39152TAN00 |
| Balance. (2) |
| a. Balance | 3943000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3801506.23000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.486462367013 |
| 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. | 2036-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.67348000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GS Mortgage Securities Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GS Mortgage Securities Corp Trust 2018-LUAU |
| d. CUSIP (if any). | 36256AAS1 |
| At least one of the following other identifiers: |
| - ISIN | US36256AAS15 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4688054.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.599910127927 |
| 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. | 2032-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.13443000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Natixis Commercial Mortgage Se |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Natixis Commercial Mortgage Securities Trust 2022-JERI |
| d. CUSIP (if any). | 63875LAS2 |
| At least one of the following other identifiers: |
| - ISIN | US63875LAS25 |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2246234.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.287440883269 |
| 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. | 2039-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.28489000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRIUMPH GROUP INC |
| b. LEI (if any) of issuer. (1) | 5493007L6S47Q14SL582 |
| c. Title of the issue or description of the investment. | Triumph Group Inc |
| d. CUSIP (if any). | 896818AP6 |
| At least one of the following other identifiers: |
| - ISIN | US896818AP61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD49296 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3318000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3048744.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.390134667383 |
| 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. | 2025-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SOLRR Aircraft 2021-1 Limited |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lunar 2021-1 Structured Aircraft Portfolio Notes |
| d. CUSIP (if any). | 83438LAC5 |
| At least one of the following other identifiers: |
| - ISIN | US83438LAC54 |
| Balance. (2) |
| a. Balance | 5828216.20000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4591538.08000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.587559337664 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| 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. | 2046-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.68200000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MEX BONOS DESARR FIX RT |
| b. LEI (if any) of issuer. (1) | 254900EGTWEU67VP6075 |
| c. Title of the issue or description of the investment. | Mexican Bonos |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | MX0MGO0000Y4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYNMJL4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 40930000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 2051031.60000000 |
| f. Exchange rate. | 18.02000000 |
| g. Percentage value compared to net assets of the Fund. | 0.262461673502 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CORECIVIC INC |
| b. LEI (if any) of issuer. (1) | 529900JFA3K6PTLT8B15 |
| c. Title of the issue or description of the investment. | CoreCivic Inc |
| d. CUSIP (if any). | 21871NAB7 |
| At least one of the following other identifiers: |
| - ISIN | US21871NAB73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCRWJ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11596000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11699320.36000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.497111600096 |
| 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. | 2026-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROCKIES EXPRESS PIPELINE |
| b. LEI (if any) of issuer. (1) | W2ZGZGZKY5GGNY6F3V51 |
| c. Title of the issue or description of the investment. | Rockies Express Pipeline LLC |
| d. CUSIP (if any). | 77340RAM9 |
| At least one of the following other identifiers: |
| - ISIN | US77340RAM97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B4SZ6J5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 835874.43000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.106963248023 |
| 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. | 2040-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2021-DNA5 |
| d. CUSIP (if any). | 35564KJA8 |
| At least one of the following other identifiers: |
| - ISIN | US35564KJA88 |
| Balance. (2) |
| a. Balance | 2470000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2275455.88000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.291180281300 |
| 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. | 2034-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.60979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VICTORIA PLC |
| b. LEI (if any) of issuer. (1) | 2138002K6ECECHVCQN25 |
| c. Title of the issue or description of the investment. | Victoria PLC |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2307567086 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRK434 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2970000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 2616177.29000000 |
| f. Exchange rate. | 0.92208390 |
| g. Percentage value compared to net assets of the Fund. | 0.334780931562 |
| 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. | 2026-08-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DISH NETWORK CORP |
| b. LEI (if any) of issuer. (1) | 529900U350CWHH15G169 |
| c. Title of the issue or description of the investment. | DISH Network Corp |
| d. CUSIP (if any). | 25470MAF6 |
| At least one of the following other identifiers: |
| - ISIN | US25470MAF68 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD1VW2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1332500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.170514281662 |
| 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. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 Corp | DISH Network Corp | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 25470M109 | ||
| ISIN (if CUSIP is not available) | US25470M1099 | ||
| Ticker (if CUSIP and ISIN are not available) | DISH | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 24.41230000 | 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: 67 |
| a. Name of issuer (if any). | XPO ESCROW SUB LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | XPO Escrow Sub LLC |
| d. CUSIP (if any). | 98379JAA3 |
| At least one of the following other identifiers: |
| - ISIN | US98379JAA34 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP2FX19 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1041105.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.133225719482 |
| 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. | 2027-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS SECURITIES CORP. |
| b. LEI (if any) of issuer. (1) | RCNB6OTYUAMMP879YW96 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FXUSEUP0215 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 8320000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 112301.28000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.014370710760 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| Identification of investment. |
| Name of issuer (if any). | BNP PARIBAS SECURITIES CORP. |
| LEI (if any) of issuer. (22) | RCNB6OTYUAMMP879YW96 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | LMF2900_FXUSEUP0215_49_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
FRANCE
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-06-01 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 8320000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.09620000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-05-31 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 0.00000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENERGY TRANSFER LP |
| b. LEI (if any) of issuer. (1) | MTLVN9N7JE8MIBIJ1H73 |
| c. Title of the issue or description of the investment. | Energy Transfer LP |
| d. CUSIP (if any). | 29273VAH3 |
| At least one of the following other identifiers: |
| - ISIN | US29273VAH33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCRWD9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7298000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6499930.93000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.831768145130 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.89157000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Symphony CLO Ltd |
| b. LEI (if any) of issuer. (1) | 54930054F3QGDZOYIH14 |
| c. Title of the issue or description of the investment. | Symphony CLO XXVIII Ltd |
| d. CUSIP (if any). | 87168DAC0 |
| At least one of the following other identifiers: |
| - ISIN | US87168DAC02 |
| Balance. (2) |
| a. Balance | 6045000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4285037.39000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.548337765443 |
| 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. | 2050-10-23 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GoldenTree Loan Management US |
| b. LEI (if any) of issuer. (1) | 549300LOEERRNVSKVY31 |
| c. Title of the issue or description of the investment. | Goldentree Loan Management US Clo 8 Ltd |
| d. CUSIP (if any). | 38136QAJ8 |
| At least one of the following other identifiers: |
| - ISIN | US38136QAJ85 |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5781642.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.739851825920 |
| 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. | 2034-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.85771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PLAINS ALL AMERICAN PIPE |
| b. LEI (if any) of issuer. (1) | 5521FA2ITF25TVH63740 |
| c. Title of the issue or description of the investment. | Plains All American Pipeline LP |
| d. CUSIP (if any). | 726503AE5 |
| At least one of the following other identifiers: |
| - ISIN | US726503AE55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF22XZ4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8952291.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.145586208303 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.97357000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WP CPP HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 549300HT8KGOLU7VM426 |
| c. Title of the issue or description of the investment. | WP CPP Holdings LLC |
| 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 | BL3100080 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4950000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.633430164525 |
| 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. | 2026-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BAUSCH HEALTH COS INC |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | Bausch Health Cos Inc |
| d. CUSIP (if any). | 071734AD9 |
| At least one of the following other identifiers: |
| - ISIN | US071734AD90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK8KJV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2018499.45000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.258298674486 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TEVA PHARMACEUTICALS NE |
| b. LEI (if any) of issuer. (1) | 5493004T21MOAFINJP35 |
| c. Title of the issue or description of the investment. | Teva Pharmaceutical Finance Netherlands III BV |
| d. CUSIP (if any). | 88167AAF8 |
| At least one of the following other identifiers: |
| - ISIN | US88167AAF84 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYYRQV7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2001765.63000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.256157319667 |
| 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. | 2046-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.10000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AMER AIRLINE 17-2B PTT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | American Airlines 2017-2 Class B Pass Through Trust |
| d. CUSIP (if any). | 02377DAA0 |
| At least one of the following other identifiers: |
| - ISIN | US02377DAA00 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ1HXG1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4905198.86000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4581789.29000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.586311827027 |
| 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. | 2025-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2021-DNA1 |
| d. CUSIP (if any). | 35564KBE8 |
| At least one of the following other identifiers: |
| - ISIN | US35564KBE82 |
| Balance. (2) |
| a. Balance | 9482500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7909724.02000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.012173290372 |
| 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. | 2051-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.30979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2021-DNA6 |
| d. CUSIP (if any). | 35564KLV9 |
| At least one of the following other identifiers: |
| - ISIN | US35564KLV97 |
| Balance. (2) |
| a. Balance | 6590000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6139765.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.785679298005 |
| 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. | 2041-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.05979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Zais Matrix CDO I |
| b. LEI (if any) of issuer. (1) | 549300PCGOXUK8XLNY49 |
| c. Title of the issue or description of the investment. | Zais Clo 17 Ltd |
| d. CUSIP (if any). | 98888KAA4 |
| At least one of the following other identifiers: |
| - ISIN | US98888KAA43 |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5371540.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.687372834202 |
| 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. | 2033-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.05771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Palmer Square Loan Funding Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Palmer Square Loan Funding 2022-3 Ltd |
| d. CUSIP (if any). | 69690CAJ2 |
| At least one of the following other identifiers: |
| - ISIN | US69690CAJ27 |
| Balance. (2) |
| a. Balance | 2950000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2949309.16000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.377410381102 |
| 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. | 2031-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.40507000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CA MAGNUM HOLDINGS |
| b. LEI (if any) of issuer. (1) | 549300ZRDHFR078MFZ78 |
| c. Title of the issue or description of the investment. | CA Magnum Holdings |
| d. CUSIP (if any). | 12674CAA1 |
| At least one of the following other identifiers: |
| - ISIN | US12674CAA18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNM0KB9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1317306.18000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.168569994005 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
MAURITIUS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROCKETMTGE CO-ISSUER INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc |
| d. CUSIP (if any). | 77313LAB9 |
| At least one of the following other identifiers: |
| - ISIN | US77313LAB99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6QRV6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 794975.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.101729524251 |
| 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. | 2033-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS075580 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 17110.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.002189505749 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Receipts: Floating rate Spread. | 0.00000000 |
| Receipt: Floating Rate Reset Dates. | Day |
| Receipt: Floating Rate Reset Dates Unit. | 1 |
| Receipts: Floating Rate Tenor. | Month |
| Receipts: Floating Rate Tenor Unit. | 12 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | 4031000.00000000 |
| 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. | 3.05000000 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | N/A |
| ii. Termination or maturity date. | 2048-02-15 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 124261.23000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | -4031000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | -107151.13000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SABRE GLBL INC |
| b. LEI (if any) of issuer. (1) | F2TJC7HPPHLHU1AQMP98 |
| c. Title of the issue or description of the investment. | Sabre GLBL Inc |
| d. CUSIP (if any). | 78573NAH5 |
| At least one of the following other identifiers: |
| - ISIN | US78573NAH52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6WW53 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3729860.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.477294107769 |
| 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. | 2027-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTERCONTINENTAL EXCHANGE, INC. |
| b. LEI (if any) of issuer. (1) | 5493000F4ZO33MV32P92 |
| c. Title of the issue or description of the investment. | CDS GENERAL MOTORS CO |
| 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 | SW0WS055426 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -477228.64000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.06106889211 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-credit
|
| 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 |
| 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, INC. | 5493000F4ZO33MV32P92 |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | GENERAL MOTORS CO |
| Title of issue. | General Motors Co |
| At least one of the following other identifiers: |
| - CUSIP. | 37045VAE0 |
| - ISIN (if CUSIP is not available). | US37045VAE02 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BP9DLV2 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| 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 |
| Description of Other Receipts | Default Event |
| 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. | 5.00000000 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | N/A |
| ii. Termination or maturity date. | 2026-06-20 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | -543093.67000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | -4320000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | 65865.03000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TCI-Symphony CLO |
| b. LEI (if any) of issuer. (1) | 5493005WLG3H3B8NI222 |
| c. Title of the issue or description of the investment. | TCI-Symphony CLO 2016-1 Ltd |
| d. CUSIP (if any). | 87230XAD8 |
| At least one of the following other identifiers: |
| - ISIN | US87230XAD84 |
| Balance. (2) |
| a. Balance | 3500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3099746.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.396661169655 |
| 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. | 2032-10-13 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.56500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MELCO RESORTS FINANCE |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Melco Resorts Finance Ltd |
| d. CUSIP (if any). | 58547DAA7 |
| At least one of the following other identifiers: |
| - ISIN | US58547DAA72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYZQ5Q1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 800000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 753200.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.096383757559 |
| 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. | 2025-06-06 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MULTIFAMILY CONNECTICUT AVENUE |
| b. LEI (if any) of issuer. (1) | 5493002KQF9IH3CTQZ40 |
| c. Title of the issue or description of the investment. | Multifamily Connecticut Avenue Securities Trust 2020-01 |
| d. CUSIP (if any). | 62548QAF8 |
| At least one of the following other identifiers: |
| - ISIN | US62548QAF81 |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2306506.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.295153631325 |
| 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. | 2050-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.34529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARNIVAL PLC |
| b. LEI (if any) of issuer. (1) | 4DR1VPDQMHD3N3QW8W95 |
| c. Title of the issue or description of the investment. | Carnival PLC |
| d. CUSIP (if any). | 693070AD6 |
| At least one of the following other identifiers: |
| - ISIN | US693070AD69 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD03XX3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2556000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2513354.62000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.321623157668 |
| 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. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EQUINOX HOLDINGS INC |
| b. LEI (if any) of issuer. (1) | 549300W05QKLNGQIIA73 |
| c. Title of the issue or description of the investment. | Equinox Holdings Inc |
| d. CUSIP (if any). | 29446CAR5 |
| At least one of the following other identifiers: |
| - ISIN | US29446CAR51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3424829 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1170000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1079325.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.138116568146 |
| 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. | 2024-03-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.84760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RR Ltd |
| b. LEI (if any) of issuer. (1) | 54930003V8ISBLDELD80 |
| c. Title of the issue or description of the investment. | RR 18 Ltd |
| d. CUSIP (if any). | 749737AA0 |
| At least one of the following other identifiers: |
| - ISIN | US749737AA00 |
| Balance. (2) |
| a. Balance | 7190000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6356725.58000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.813442773734 |
| 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. | 2034-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.04243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - SCRT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Seasoned Credit Risk Transfer Trust Series 2018-3 |
| d. CUSIP (if any). | 35563PGW3 |
| At least one of the following other identifiers: |
| - ISIN | US35563PGW32 |
| Balance. (2) |
| a. Balance | 9498576.13000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3297820.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.422007830341 |
| 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. | 2057-08-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 1.44003300 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Credit Suisse Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CSMC 2021-RPL2Trust |
| d. CUSIP (if any). | 12656TAG3 |
| At least one of the following other identifiers: |
| - ISIN | US12656TAG31 |
| Balance. (2) |
| a. Balance | 6233900.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3960618.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.506823291196 |
| 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. | 2060-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.54526000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF ECUADOR |
| b. LEI (if any) of issuer. (1) | 5299003Y2U5XK0A35H71 |
| c. Title of the issue or description of the investment. | Ecuador Government International Bond |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2214238102 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGR2B3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1609000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 755974.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.096738823959 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ECUADOR
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bluemountain CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BlueMountain Fuji US Clo II Ltd |
| d. CUSIP (if any). | 09629HAA2 |
| At least one of the following other identifiers: |
| - ISIN | US09629HAA23 |
| Balance. (2) |
| a. Balance | 5350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4366259.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.558731434370 |
| 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. | 2030-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.95771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALTICE FRANCE HOLDING SA |
| b. LEI (if any) of issuer. (1) | 5299000JVHXKJPOE6H40 |
| c. Title of the issue or description of the investment. | Altice France Holding SA |
| d. CUSIP (if any). | 02156TAB0 |
| At least one of the following other identifiers: |
| - ISIN | US02156TAB08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJP8GV4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6893100.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.882080296382 |
| 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. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | USD CALL VERSUS GBP PUT |
| 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 | FXUSGBC0034 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 10800000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 155.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000019869232 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| Identification of investment. |
| Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of issuer. (22) | FOR8UP27PHTHYVLBNG30 |
| Title of the issue or description of the investment. | USD CALL VERSUS GBP PUT |
| 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 | LMF2900_FXUSGBC0034_5_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United Kingdom Pound
|
| iii. Settlement date. | 2023-04-12 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 10800000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.15750000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-04-12 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -58326.73000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SAGA PLC |
| b. LEI (if any) of issuer. (1) | 2138004WWUJN94K2LH95 |
| c. Title of the issue or description of the investment. | Saga PLC |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2357117881 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVQ9R0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United Kingdom Pound
|
| e. Value. (4) | 2914380.00000000 |
| f. Exchange rate. | 0.81063553 |
| g. Percentage value compared to net assets of the Fund. | 0.372940647048 |
| 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. | 2026-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| d. CUSIP (if any). | 75774EAG0 |
| At least one of the following other identifiers: |
| - ISIN | US75774EAG08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3600675 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 6912500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5465195.31000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.699357487753 |
| 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. | 9.59310000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BLUE RACER MID LLC/FINAN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Blue Racer Midstream LLC / Blue Racer Finance Corp |
| d. CUSIP (if any). | 095796AH1 |
| At least one of the following other identifiers: |
| - ISIN | US095796AH17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYD741 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1981800.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.253602404052 |
| 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. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NCR CORP |
| b. LEI (if any) of issuer. (1) | 549300YKTY8JX1DV2R67 |
| c. Title of the issue or description of the investment. | NCR Corp |
| d. CUSIP (if any). | 62886EBA5 |
| At least one of the following other identifiers: |
| - ISIN | US62886EBA55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6KR10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2598745.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.332550298920 |
| 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. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GEN DIGITAL INC |
| b. LEI (if any) of issuer. (1) | YF6ZV0M6AU4FY94MK914 |
| c. Title of the issue or description of the investment. | Gen Digital Inc |
| d. CUSIP (if any). | 668771AL2 |
| At least one of the following other identifiers: |
| - ISIN | US668771AL22 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVRF72 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2489750.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.318602576187 |
| 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. | 2030-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NCL CORP LTD |
| b. LEI (if any) of issuer. (1) | UNZWILHE4KMRP9K2L524 |
| c. Title of the issue or description of the investment. | NCL Corp Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XAG6361CAU09 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL4119733 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4923076.92000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4824615.38000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.617385235136 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| 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. | 2025-01-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.05340000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTL BK RECON & DEVELOP |
| b. LEI (if any) of issuer. (1) | ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment. | International Bank for Reconstruction & Development |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2352605575 |
| Balance. (2) |
| a. Balance | 1660000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Kazakhstan Tenge
|
| e. Value. (4) | 3606484.92000000 |
| f. Exchange rate. | 455.60000000 |
| g. Percentage value compared to net assets of the Fund. | 0.461506330552 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-14 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WHEEL BIDCO LTD |
| b. LEI (if any) of issuer. (1) | 213800GGDN5YSVU1G348 |
| c. Title of the issue or description of the investment. | Wheel Bidco Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2364424460 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6P243 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5180000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United Kingdom Pound
|
| e. Value. (4) | 5358298.07000000 |
| f. Exchange rate. | 0.81063553 |
| g. Percentage value compared to net assets of the Fund. | 0.685678308698 |
| 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. | 2026-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTERCONTINENTAL EXCHANGE, INC. |
| b. LEI (if any) of issuer. (1) | 5493000F4ZO33MV32P92 |
| c. Title of the issue or description of the investment. | CDS FORD MOTOR COMPANY |
| 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 | SW0WS055442 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 351723.92000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.045008594043 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-credit
|
| 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 |
| 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, INC. | 5493000F4ZO33MV32P92 |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | FORD MOTOR COMPANY |
| Title of issue. | Ford Motor Co |
| At least one of the following other identifiers: |
| - CUSIP. | 345370CR9 |
| - ISIN (if CUSIP is not available). | US345370CR99 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BYPL1T1 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| 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. | 5.00000000 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | N/A |
| 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 | Default Event |
| ii. Termination or maturity date. | 2026-06-20 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 404072.57000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | 4320000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | -52348.65000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FOOT LOCKER INC |
| b. LEI (if any) of issuer. (1) | 549300X383CBNP6MTV94 |
| c. Title of the issue or description of the investment. | Foot Locker Inc |
| d. CUSIP (if any). | 344849AA2 |
| At least one of the following other identifiers: |
| - ISIN | US344849AA21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9XD60 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2506170.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.320703772814 |
| 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. | 2029-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MORGAN STANLEY & CO. LLC |
| b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
| c. Title of the issue or description of the investment. | NOK/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | NA295FBH5K219CRV |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -513627.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.06572673572 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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. LLC | 9R7GPTSO7KV3UQJZQ078 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -10836650.47000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 107989389.30000000 |
| Description of currency purchased. |
Norway Krone
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | -513627.80000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928724 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -2279502.50000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -2279502.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.29169810982 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 4.99000000 |
| e. Maturity date. | 2032-09-23 |
| 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 | 5500000.00000000 | United States Dollar | 4683281.68000000 | United States Dollar |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WYNN MACAU LTD |
| b. LEI (if any) of issuer. (1) | 254900NMDQ8ENTHU1I31 |
| c. Title of the issue or description of the investment. | Wynn Macau Ltd |
| d. CUSIP (if any). | 98313RAD8 |
| At least one of the following other identifiers: |
| - ISIN | US98313RAD89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFB5MD5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2620798.86000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.335372333955 |
| 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. | 2027-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LCM Ltd Partnership |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LCM 29 Ltd |
| d. CUSIP (if any). | 50201LAE5 |
| At least one of the following other identifiers: |
| - ISIN | US50201LAE56 |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1688359.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.216052094451 |
| 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. | 2031-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.62243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | COMMSCOPE INC |
| b. LEI (if any) of issuer. (1) | 549300Z6K4JXMFE8QY54 |
| c. Title of the issue or description of the investment. | CommScope Inc |
| d. CUSIP (if any). | 203372AV9 |
| At least one of the following other identifiers: |
| - ISIN | US203372AV94 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8MKY5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7770000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5740242.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.734554142336 |
| 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. | 2028-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | QVC INC |
| b. LEI (if any) of issuer. (1) | 549300WBLU5NKPX5X472 |
| c. Title of the issue or description of the investment. | QVC Inc |
| d. CUSIP (if any). | 747262AW3 |
| At least one of the following other identifiers: |
| - ISIN | US747262AW35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BXRTNR8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 638000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 239052.22000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.030590482231 |
| 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. | 2034-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.45000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SAMHALLSBYGGNADSBOLAGET |
| b. LEI (if any) of issuer. (1) | 549300HX9MRFY47AH564 |
| c. Title of the issue or description of the investment. | Samhallsbyggnadsbolaget i Norden AB |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2010032618 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL1NPK9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 2066845.52000000 |
| f. Exchange rate. | 0.92208390 |
| g. Percentage value compared to net assets of the Fund. | 0.264485312683 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
SWEDEN
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.62400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Whitebox CLO I Ltd |
| b. LEI (if any) of issuer. (1) | 549300C89ZJ5IWOT1F21 |
| c. Title of the issue or description of the investment. | Whitebox Clo II Ltd |
| d. CUSIP (if any). | 96466EAE4 |
| At least one of the following other identifiers: |
| - ISIN | US96466EAE41 |
| Balance. (2) |
| a. Balance | 2175000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2032376.21000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.260074423652 |
| 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. | 2034-10-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.91557000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Riserva CLO, Ltd. |
| b. LEI (if any) of issuer. (1) | 549300640C8OB2I8SN35 |
| c. Title of the issue or description of the investment. | Riserva Clo Ltd |
| d. CUSIP (if any). | 76761TAG0 |
| At least one of the following other identifiers: |
| - ISIN | US76761TAG04 |
| Balance. (2) |
| a. Balance | 2450000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2217250.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.283731925716 |
| 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. | 2034-01-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.29471000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DISH DBS CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DISH DBS Corp |
| d. CUSIP (if any). | 25470XAW5 |
| At least one of the following other identifiers: |
| - ISIN | US25470XAW56 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BVRZ8M2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3124800.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.399867187497 |
| 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. | 2024-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Dryden Senior Loan Fund |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Dryden 95 CLO Ltd |
| d. CUSIP (if any). | 262485AC9 |
| At least one of the following other identifiers: |
| - ISIN | US262485AC97 |
| Balance. (2) |
| a. Balance | 6870000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4842669.71000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.619695569929 |
| 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. | 2034-08-20 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ABERCROMBIE & FITCH MANA |
| b. LEI (if any) of issuer. (1) | 5493003QMCFDA98NPT74 |
| c. Title of the issue or description of the investment. | Abercrombie & Fitch Management Co |
| d. CUSIP (if any). | 003000AA4 |
| At least one of the following other identifiers: |
| - ISIN | US003000AA44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCD4V2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6755000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6813286.46000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.871866901680 |
| 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. | 2025-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| d. CUSIP (if any). | 90290PAN4 |
| At least one of the following other identifiers: |
| - ISIN | US90290PAN42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3003243 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5900898.99000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4034739.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.516308246327 |
| 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. | 2026-07-26 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.85870000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FORD MOTOR COMPANY |
| b. LEI (if any) of issuer. (1) | 20S05OYHG0MQM4VUIC57 |
| c. Title of the issue or description of the investment. | Ford Motor Co |
| d. CUSIP (if any). | 345370BV1 |
| At least one of the following other identifiers: |
| - ISIN | US345370BV11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2983295 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4800000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5380622.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.688535056986 |
| 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. | 2032-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.90000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS076281 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 15246.37000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001951012254 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Receipts: Floating rate Spread. | 0.00000000 |
| Receipt: Floating Rate Reset Dates. | Day |
| Receipt: Floating Rate Reset Dates Unit. | 1 |
| Receipts: Floating Rate Tenor. | Month |
| Receipts: Floating Rate Tenor Unit. | 12 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | 11469000.00000000 |
| 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. | 3.25000000 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | N/A |
| ii. Termination or maturity date. | 2029-09-30 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 5075.80000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | -11469000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | 10170.57000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SERVICE PROPERTIES TRUST |
| b. LEI (if any) of issuer. (1) | 529900IS770AG1K9QG27 |
| c. Title of the issue or description of the investment. | Service Properties Trust |
| d. CUSIP (if any). | 44106MAT9 |
| At least one of the following other identifiers: |
| - ISIN | US44106MAT99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQSNVG5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1840226.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.235485891856 |
| 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. | 2025-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF ECUADOR |
| b. LEI (if any) of issuer. (1) | 5299003Y2U5XK0A35H71 |
| c. Title of the issue or description of the investment. | Ecuador Government International Bond |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2214239688 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGR2M4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5593000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1699782.44000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.217513832449 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ECUADOR
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | Three-Month SOFR |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SFRM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG00LXRDBL5 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | -52.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 44278.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.005666103202 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Short |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | THE SECURED OVERNIGHT FINANCING RATE |
| Title of issue. | THE SECURED OVERNIGHT FINANCING RATE |
| At least one of the following other identifiers: |
| - CUSIP. | 000000000 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | SOFR_RATE_US |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2023-09-19 |
| iv. Aggregate notional amount or contract value on trade date. | -12410528.30000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 44278.30000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VT TOPCO INC |
| b. LEI (if any) of issuer. (1) | 5493007T812R37X02Y38 |
| c. Title of the issue or description of the investment. | VT Topco Inc |
| d. CUSIP (if any). | 91838LAE0 |
| At least one of the following other identifiers: |
| - ISIN | US91838LAE02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3680693 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 2700000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2592000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.331687067969 |
| 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. | 2026-08-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.59760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Rad CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Rad CLO 1 Ltd |
| d. CUSIP (if any). | 48661BAA2 |
| At least one of the following other identifiers: |
| - ISIN | US48661BAA26 |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2498858.37000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.319768135037 |
| 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. | 2031-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.41243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VISTAJET MALTA/XO MGMT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VistaJet Malta Finance PLC / XO Management Holding Inc |
| d. CUSIP (if any). | 92840JAB5 |
| At least one of the following other identifiers: |
| - ISIN | US92840JAB52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP4Z8H8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 650000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 579963.22000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.074215393507 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | CBOT 5 YEAR US TREASURY NOTE |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | FVM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019V448L1 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | -491.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -674677.86000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.08633561774 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Short |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 91282CFM8 |
| - ISIN (if CUSIP is not available). | US91282CFM82 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BN6ML41 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iii. Expiration date. | 2023-06-30 |
| iv. Aggregate notional amount or contract value on trade date. | -53093656.85000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | -674677.86000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRANSDIGM INC |
| b. LEI (if any) of issuer. (1) | 88Q84GB3X55CF5OC7582 |
| c. Title of the issue or description of the investment. | TransDigm Inc |
| d. CUSIP (if any). | 893647BR7 |
| At least one of the following other identifiers: |
| - ISIN | US893647BR70 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNC3FJ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3650000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3691062.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.472329358919 |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INDY US HOLDCO LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Indy US Holdco LLC |
| d. CUSIP (if any). | 45674PAJ3 |
| At least one of the following other identifiers: |
| - ISIN | US45674PAJ30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL4120897 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3367697.59000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2936211.34000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.375734309531 |
| 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. | 2028-03-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.07710000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GLOBAL AIR LEASE CO LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Global Aircraft Leasing Co Ltd |
| d. CUSIP (if any). | 37960JAA6 |
| At least one of the following other identifiers: |
| - ISIN | US37960JAA60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKDRG65 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13479094.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12177148.31000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.558257183325 |
| 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. | 2024-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2021-DNA5 |
| d. CUSIP (if any). | 35564KJB6 |
| At least one of the following other identifiers: |
| - ISIN | US35564KJB61 |
| Balance. (2) |
| a. Balance | 6700000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5587089.13000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.714955714512 |
| 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. | 2034-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.05979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Wellfleet CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Wellfleet CLO 2017-2A Ltd |
| d. CUSIP (if any). | 94952DAA0 |
| At least one of the following other identifiers: |
| - ISIN | US94952DAA00 |
| Balance. (2) |
| a. Balance | 3287000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2428418.65000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.310754267678 |
| 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. | 2029-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.55771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CRESTWOOD MID PARTNER LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp |
| d. CUSIP (if any). | 67421QAA0 |
| At least one of the following other identifiers: |
| - ISIN | US67421QAA04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLGZKZ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 612540.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.078384103632 |
| 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. | 2029-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | Three-Month SOFR |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SFRZ3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG00NKCXV78 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | -601.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 558290.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.071441977756 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Short |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | THE SECURED OVERNIGHT FINANCING RATE |
| Title of issue. | THE SECURED OVERNIGHT FINANCING RATE |
| At least one of the following other identifiers: |
| - CUSIP. | 000000000 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | SOFR_RATE_US |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2024-03-19 |
| iv. Aggregate notional amount or contract value on trade date. | -144347540.10000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 558290.10000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LIBERTY INTERACTIVE LLC |
| b. LEI (if any) of issuer. (1) | 549300SZUIU7Z32Q0664 |
| c. Title of the issue or description of the investment. | Liberty Interactive LLC |
| d. CUSIP (if any). | 530715AD3 |
| At least one of the following other identifiers: |
| - ISIN | US530715AD31 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2915726 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3511000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 882700.51000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.112955379651 |
| 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. | 2029-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EYECARE PARTNERS LLC |
| b. LEI (if any) of issuer. (1) | 254900ZAACWK09RJ8W93 |
| c. Title of the issue or description of the investment. | Eyecare Partners LLC |
| d. CUSIP (if any). | 30233PAK6 |
| At least one of the following other identifiers: |
| - ISIN | US30233PAK66 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3751999 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 2590000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2020200.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.258516286540 |
| 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. | 2029-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.62660000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LCM Ltd Partnership |
| b. LEI (if any) of issuer. (1) | 5493006LYYH2XWCWW153 |
| c. Title of the issue or description of the investment. | LCM 33 Ltd |
| d. CUSIP (if any). | 50202FAA5 |
| At least one of the following other identifiers: |
| - ISIN | US50202FAA57 |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2472123.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.316347011990 |
| 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. | 2034-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.15771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FRANCHISE GROUP INC |
| b. LEI (if any) of issuer. (1) | 549300MWCHSL8BSOMV77 |
| c. Title of the issue or description of the investment. | Franchise Group Inc |
| d. CUSIP (if any). | 35180YAB9 |
| At least one of the following other identifiers: |
| - ISIN | US35180YAB92 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3553619 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5955440.04000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5821442.64000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.744944923077 |
| 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. | 2026-03-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.86990000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TUTOR PERINI CORP |
| b. LEI (if any) of issuer. (1) | 549300FHXYVPW8LJ6D98 |
| c. Title of the issue or description of the investment. | Tutor Perini Corp |
| d. CUSIP (if any). | 901109AF5 |
| At least one of the following other identifiers: |
| - ISIN | US901109AF51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDHBLV4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7745000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5469790.08000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.699945460665 |
| 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. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ICE FUTURES EUROPE |
| b. LEI (if any) of issuer. (1) | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | Three Month SONIA Index |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SFIM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG00KXQXFF5 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 53.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United Kingdom Pound
|
| e. Value. (4) | -57468.05000000 |
| f. Exchange rate. | 0.81063553 |
| g. Percentage value compared to net assets of the Fund. | -0.00735393865 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Future
|
| 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 | ICE FUTURES EUROPE | 549300UF4R84F48NCH34 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | INTERCONTENTIAL EXCHANGE |
| Title of issue. | 90 DAY STERLING RATE |
| At least one of the following other identifiers: |
| - CUSIP. | 000000000 |
| - Ticker (if CUSIP and ISIN are not available). | BP00090D |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BP00090D_RATE_GB |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2023-09-19 |
| iv. Aggregate notional amount or contract value on trade date. | 15408725.78000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | -57468.05000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Carlyle US CLO 2020-1, Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CARLYLE US CLO 2020-1 LTD |
| d. CUSIP (if any). | 14315UAG9 |
| At least one of the following other identifiers: |
| - ISIN | US14315UAG94 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4123131.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.527619334555 |
| 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. | 2034-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.68771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HILCORP ENERGY I/HILCORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Hilcorp Energy I LP / Hilcorp Finance Co |
| d. CUSIP (if any). | 431318AZ7 |
| At least one of the following other identifiers: |
| - ISIN | US431318AZ78 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPVCPK4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6482980.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.829599007680 |
| 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. | 2032-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VISTAJET MALTA/XO MGMT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VistaJet Malta Finance PLC / XO Management Holding Inc |
| d. CUSIP (if any). | 92840JAD1 |
| At least one of the following other identifiers: |
| - ISIN | US92840JAD19 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQ2GVG0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1451947.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.185799463395 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Hayfin US XIV LTD |
| b. LEI (if any) of issuer. (1) | 5493000YWK38UXBNS724 |
| c. Title of the issue or description of the investment. | Hayfin US XIV Ltd |
| d. CUSIP (if any). | 42088QAA7 |
| At least one of the following other identifiers: |
| - ISIN | US42088QAA76 |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5993818.82000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.767003159856 |
| 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. | 2034-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.98771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NAVIENT CORP |
| b. LEI (if any) of issuer. (1) | 54930067J0ZNOEBRW338 |
| c. Title of the issue or description of the investment. | Navient Corp |
| d. CUSIP (if any). | 63938CAM0 |
| At least one of the following other identifiers: |
| - ISIN | US63938CAM01 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL0P562 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8462850.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.082954437951 |
| 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. | 2029-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SERVICE PROPERTIES TRUST |
| b. LEI (if any) of issuer. (1) | 529900IS770AG1K9QG27 |
| c. Title of the issue or description of the investment. | Service Properties Trust |
| d. CUSIP (if any). | 44106MAZ5 |
| At least one of the following other identifiers: |
| - ISIN | US44106MAZ59 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKVJX95 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4789400.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.612878874743 |
| 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. | 2024-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.35000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928721 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -2303650.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -2303650.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.29478816131 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.25000000 |
| e. Maturity date. | 2030-07-31 |
| 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 | 10000000.00000000 | United States Dollar | 3025612.74400000 | United States Dollar |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | 5493007ZK0X40BI7UF30 |
| c. Title of the issue or description of the investment. | Freddie Mac STACR Remic Trust 2020-DNA2 |
| d. CUSIP (if any). | 35565KBE7 |
| At least one of the following other identifiers: |
| - ISIN | US35565KBE73 |
| Balance. (2) |
| a. Balance | 7250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6410740.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.820354766249 |
| 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. | 2050-02-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.64529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2021-DNA3 |
| d. CUSIP (if any). | 35564KFH7 |
| At least one of the following other identifiers: |
| - ISIN | US35564KFH77 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJL90B9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4349589.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.556598156745 |
| 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. | 2033-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.80979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | STONEMOR INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | StoneMor Inc |
| d. CUSIP (if any). | 86184WAA4 |
| At least one of the following other identifiers: |
| - ISIN | US86184WAA45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6KG57 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5004772.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.640439165270 |
| 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. | 2029-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PM GENERAL PURCHASER LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PM General Purchaser LLC |
| d. CUSIP (if any). | 69356MAA4 |
| At least one of the following other identifiers: |
| - ISIN | US69356MAA45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN79055 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6419503.79000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.821476230681 |
| 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. | 2028-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS075267 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 364108.96000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.046593454229 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Receipts: Floating rate Spread. | 0.00000000 |
| Receipt: Floating Rate Reset Dates. | Day |
| Receipt: Floating Rate Reset Dates Unit. | 1 |
| Receipts: Floating Rate Tenor. | Month |
| Receipts: Floating Rate Tenor Unit. | 12 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | 3728000.00000000 |
| 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. | 2.51000000 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | N/A |
| ii. Termination or maturity date. | 2048-02-15 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 67763.10000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | -3728000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | 296345.86000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | COUNTRY GARDEN HLDGS |
| b. LEI (if any) of issuer. (1) | 549300MGHLPT1EFHGF84 |
| c. Title of the issue or description of the investment. | Country Garden Holdings Co Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1880442717 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFM4W19 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3047450.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.389969041390 |
| 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. | 2024-01-27 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MAGENTA BUYER LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Magenta Buyer LLC |
| d. CUSIP (if any). | 55910RAB9 |
| At least one of the following other identifiers: |
| - ISIN | US55910RAB96 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3606383 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5925000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4907173.88000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.627949890538 |
| 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. | 2028-07-27 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.60230000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928722 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -1234283.60000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -1234283.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.15794595228 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.07000000 |
| e. Maturity date. | 2023-07-03 |
| 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 | 2480000.00000000 | United States Dollar | 2468431.32000000 | 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: 158 |
| a. Name of issuer (if any). | GLOBAL MEDICAL RESPONSE |
| b. LEI (if any) of issuer. (1) | 549300ZFWD4ZFCEJCQ87 |
| c. Title of the issue or description of the investment. | Global Medical Response Inc |
| d. CUSIP (if any). | 00169QAF6 |
| At least one of the following other identifiers: |
| - ISIN | US00169QAF63 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3745934 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4924623.14000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3488282.93000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.446380531366 |
| 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. | 2025-10-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.09760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DCERT BUYER INC |
| b. LEI (if any) of issuer. (1) | 549300EF826JEEUCHZ67 |
| c. Title of the issue or description of the investment. | Dcert Buyer Inc |
| 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 | BL3559079 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 464860.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.059486130561 |
| 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. | 2029-02-16 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.77770000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SOHO Trust 2021-SOHO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Soho Trust 2021-SOHO |
| d. CUSIP (if any). | 83410JAJ7 |
| At least one of the following other identifiers: |
| - ISIN | US83410JAJ79 |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4255610.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.544572171556 |
| 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. | 2038-08-10 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 2.69658900 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Anchorage Capital CLO LTD |
| b. LEI (if any) of issuer. (1) | 549300V7DN3VJ8H1GE96 |
| c. Title of the issue or description of the investment. | Anchorage Capital CLO 3-R Ltd |
| d. CUSIP (if any). | 03330BAA8 |
| At least one of the following other identifiers: |
| - ISIN | US03330BAA89 |
| Balance. (2) |
| a. Balance | 3625000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3024893.73000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.387082612740 |
| 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. | 2031-01-28 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.30243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS074807 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 819480.97000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.104865447606 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Receipts: Floating rate Spread. | 0.00000000 |
| Receipt: Floating Rate Reset Dates. | Day |
| Receipt: Floating Rate Reset Dates Unit. | 1 |
| Receipts: Floating Rate Tenor. | Month |
| Receipts: Floating Rate Tenor Unit. | 12 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | 10419000.00000000 |
| 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. | 2.65000000 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | N/A |
| ii. Termination or maturity date. | 2047-08-15 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 122039.89000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | -10419000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | 697441.08000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARRIAGE PURCHASER INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Carriage Purchaser Inc |
| d. CUSIP (if any). | 14445LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US14445LAA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGCCC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4448830.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.569297686783 |
| 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. | 2029-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CREDIT SUISSE NEW YORK |
| b. LEI (if any) of issuer. (1) | 549300D0YARF5HYP1809 |
| c. Title of the issue or description of the investment. | Credit Suisse AG/New York NY |
| d. CUSIP (if any). | 22550L2D2 |
| At least one of the following other identifiers: |
| - ISIN | US22550L2D25 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBT195 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4700000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4658875.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.596176153081 |
| 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. | 2023-05-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARNIVAL HLDGS BM LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Carnival Holdings Bermuda Ltd |
| d. CUSIP (if any). | 14366RAA7 |
| At least one of the following other identifiers: |
| - ISIN | US14366RAA77 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM99Y87 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5383475.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.688900091913 |
| 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. | 2028-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928578 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -1174704.30000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -1174704.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.15032184606 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.07000000 |
| e. Maturity date. | 2023-09-30 |
| 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 | 2420000.00000000 | United States Dollar | 2334842.42000000 | 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: 167 |
| a. Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928262 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -1930808.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -1930808.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.24707717759 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.15000000 |
| e. Maturity date. | 2031-09-20 |
| 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 | 4400000.00000000 | United States Dollar | 3644369.66000000 | 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: 168 |
| a. Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | GBP/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 8EN9R4G553KH1FKQ |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 76752.78000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.009821722437 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -2119876.76000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 1780000.00000000 |
| Description of currency purchased. |
United Kingdom Pound
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | 76752.78000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS SECURITIES CORP. |
| b. LEI (if any) of issuer. (1) | RCNB6OTYUAMMP879YW96 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | A81PMTQRS189BNVR |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -27769.05000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00355348563 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -8770000.00000000 |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 9492832.17000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | -27769.05000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WP CPP HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 549300HT8KGOLU7VM426 |
| c. Title of the issue or description of the investment. | WP CPP Holdings LLC |
| d. CUSIP (if any). | 92937JAM5 |
| At least one of the following other identifiers: |
| - ISIN | US92937JAM53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2682013 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3705321.33000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3389850.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.433784528130 |
| 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. | 2025-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.56360000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DISH NETWORK CORP |
| b. LEI (if any) of issuer. (1) | 529900U350CWHH15G169 |
| c. Title of the issue or description of the investment. | DISH Network Corp |
| d. CUSIP (if any). | 25470MAB5 |
| At least one of the following other identifiers: |
| - ISIN | US25470MAB54 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF953F6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1040000.16000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.133084337869 |
| 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. | 3.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 Corp | DISH Network Corp | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 25470M109 | ||
| ISIN (if CUSIP is not available) | US25470M1099 | ||
| Ticker (if CUSIP and ISIN are not available) | DISH | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 15.34290000 | 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: 172 |
| a. Name of issuer (if any). | VERTIV GROUP CORPORATION |
| b. LEI (if any) of issuer. (1) | 549300ZT8RQ5VK10E643 |
| c. Title of the issue or description of the investment. | Vertiv Group Corp |
| d. CUSIP (if any). | 92535UAB0 |
| At least one of the following other identifiers: |
| - ISIN | US92535UAB08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN14T82 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2650454.94000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.339167294689 |
| 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. | 2028-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHS/COMMUNITY HEALTH SYS |
| b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
| c. Title of the issue or description of the investment. | CHS/Community Health Systems Inc |
| d. CUSIP (if any). | 12543DBL3 |
| At least one of the following other identifiers: |
| - ISIN | US12543DBL38 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTQPY1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 20000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12070600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.544622655338 |
| 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. | 2030-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NEXUS BUYER LLC |
| b. LEI (if any) of issuer. (1) | 254900PILSANV8WOOF24 |
| c. Title of the issue or description of the investment. | Nexus Buyer LLC |
| d. CUSIP (if any). | 65343UAC6 |
| At least one of the following other identifiers: |
| - ISIN | US65343UAC62 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3197318 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3650000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.467074767781 |
| 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. | 2026-11-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.59760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTL FINANCE CORP |
| b. LEI (if any) of issuer. (1) | QKL54NQY28TCDAI75F60 |
| c. Title of the issue or description of the investment. | International Finance Corp |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2346735132 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLR8TR3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Uruguay Peso
|
| e. Value. (4) | 5540236.00000000 |
| f. Exchange rate. | 38.79400000 |
| g. Percentage value compared to net assets of the Fund. | 0.708960121412 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2024-06-03 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.14000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SEDGWICK CMS INC |
| b. LEI (if any) of issuer. (1) | 549300BIN4DWJG5VWF64 |
| c. Title of the issue or description of the investment. | Sedgwick Claims Management Services Inc |
| d. CUSIP (if any). | 81527CAP2 |
| At least one of the following other identifiers: |
| - ISIN | US81527CAP23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL4201747 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1590000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1573440.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201346354158 |
| 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. | 2028-02-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.55560000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TURK IHRACAT KR |
| b. LEI (if any) of issuer. (1) | 789000JVRVYLAXGDWR11 |
| c. Title of the issue or description of the investment. | Turkiye Ihracat Kredi Bankasi AS |
| d. CUSIP (if any). | 90016LAA4 |
| At least one of the following other identifiers: |
| - ISIN | US90016LAA44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLD3109 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2927411.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.374608193545 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
TURKEY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-06 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | 2 YEAR US TREASURY NOTE |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | TUM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019V44920 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | -768.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -563188.83000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.07206884712 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Short |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 91282CGU9 |
| - ISIN (if CUSIP is not available). | US91282CGU99 |
| iii. Expiration date. | 2023-06-30 |
| iv. Aggregate notional amount or contract value on trade date. | -157992811.93000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | -563188.83000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MAGENTA BUYER LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Magenta Buyer LLC |
| d. CUSIP (if any). | 55910RAE3 |
| At least one of the following other identifiers: |
| - ISIN | US55910RAE36 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3606417 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 6500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4896677.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.626606714031 |
| 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. | 2029-07-27 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.10230000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | MXN/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | U12NMG04R8JRIDCA |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000001586774 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -131.12000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 2595.40000000 |
| Description of currency purchased. |
Mexico Peso
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | 12.40000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | USD/JPY FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | S9DFS5H37T3SKELV |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -40782.28000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00521873259 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -2287856000.00000000 |
| Description of currency sold. |
Japan Yen
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 17239703.50000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | -40782.28000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ADTALEM GLOBAL EDUCATION |
| b. LEI (if any) of issuer. (1) | 549300Z467EZLMODV621 |
| c. Title of the issue or description of the investment. | Adtalem Global Education Inc |
| d. CUSIP (if any). | 00737RAE0 |
| At least one of the following other identifiers: |
| - ISIN | US00737RAE09 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3448190 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1729616.01000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1731648.31000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.221591570485 |
| 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. | 2028-08-12 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.79860000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | J.P. MORGAN SECURITIES LLC |
| b. LEI (if any) of issuer. (1) | ZBUT11V806EZRVTWT807 |
| c. Title of the issue or description of the investment. | CAD/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TPOP1F897O0QH8LR |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -5879.95000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00075243185 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 | J.P. MORGAN SECURITIES LLC | ZBUT11V806EZRVTWT807 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -509153.53000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 680000.00000000 |
| Description of currency purchased. |
Canada Dollar
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | -5879.95000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MORGAN STANLEY & CO. LLC |
| b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
| c. Title of the issue or description of the investment. | USD/GBP FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TIJBEM96CRC2J028 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 211386.23000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.027050184736 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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. LLC | 9R7GPTSO7KV3UQJZQ078 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -5489978.07000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 4620000.00000000 |
| Description of currency purchased. |
United Kingdom Pound
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | 211386.23000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CITY OF BUENOS AIRES |
| b. LEI (if any) of issuer. (1) | 5299007MC8RF52X0ON96 |
| c. Title of the issue or description of the investment. | Ciudad Autonoma De Buenos Aires/Government Bonds |
| d. CUSIP (if any). | 11942GAD4 |
| At least one of the following other identifiers: |
| - ISIN | US11942GAD43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDDRJC3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4575771.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.585541692396 |
| 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. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MPLX LP |
| b. LEI (if any) of issuer. (1) | 5493000CZJ19CK4P3G36 |
| c. Title of the issue or description of the investment. | MPLX LP |
| d. CUSIP (if any). | 55336V308 |
| At least one of the following other identifiers: |
| - ISIN | US55336V3087 |
| - Ticker (if ISIN is not available). | MPLX |
| Balance. (2) |
| a. Balance | 501254.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 17543890.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.245015985681 |
| 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: 187 |
| a. Name of issuer (if any). | MBRT 2019 MBR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MBRT 2019-MBR |
| d. CUSIP (if any). | 55282DBE3 |
| At least one of the following other identifiers: |
| - ISIN | US55282DBE31 |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2903225.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.371513279354 |
| 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. | 2036-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.03400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Tharaldson Hotel Portfolio Tru |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Tharaldson Hotel Portfolio Trust 2018-THPT |
| d. CUSIP (if any). | 88327HAQ6 |
| At least one of the following other identifiers: |
| - ISIN | US88327HAQ65 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG06582 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4455441.44000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4165379.28000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.533025632857 |
| 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. | 8.96247600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bluemountain CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BlueMountain CLO XXIX Ltd |
| d. CUSIP (if any). | 09630LAE2 |
| At least one of the following other identifiers: |
| - ISIN | US09630LAE20 |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6044811.21000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.773528436217 |
| 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. | 2034-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.67771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MAGNOLIA FINANCE X DAC 2019-1 |
| b. LEI (if any) of issuer. (1) | 213800FNSN9L4EI3LC40 |
| c. Title of the issue or description of the investment. | Credit Suisse European Mortgage Capital Ltd |
| d. CUSIP (if any). | 55960WAB7 |
| At least one of the following other identifiers: |
| - ISIN | US55960WAB72 |
| Balance. (2) |
| a. Balance | 2000900.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1964265.86000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.251358635731 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| 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. | 2024-08-09 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.70243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UNIQUIFY INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Uniquify Inc |
| d. CUSIP (if any). | 90915UAA6 |
| At least one of the following other identifiers: |
| - ISIN | US90915UAA60 |
| Balance. (2) |
| a. Balance | 3293750.09000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3267435.04000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.418119578780 |
| 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. | 2024-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARNIVAL CORP |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | Carnival Corp |
| d. CUSIP (if any). | 143658BS0 |
| At least one of the following other identifiers: |
| - ISIN | US143658BS00 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK935M6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4804500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.614811156659 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2030-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CSC HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC Holdings LLC |
| d. CUSIP (if any). | 126307AZ0 |
| At least one of the following other identifiers: |
| - ISIN | US126307AZ02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ555Z2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4157087.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.531964569509 |
| 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. | 2029-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | Ultra 10-Year US Treasury Note |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | UXYM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019PMT0N6 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 170.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 682363.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.087319051991 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 91282CFV8 |
| - ISIN (if CUSIP is not available). | US91282CFV81 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BQXS7B2 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iii. Expiration date. | 2023-06-21 |
| iv. Aggregate notional amount or contract value on trade date. | 19911544.10000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 682363.00000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MACY'S RETAIL HLDGS LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Macy's Retail Holdings LLC |
| d. CUSIP (if any). | 55617LAR3 |
| At least one of the following other identifiers: |
| - ISIN | US55617LAR33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP960B4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1189606.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.152228816366 |
| 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. | 2032-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PECF USS INTERMEDIATE HO |
| b. LEI (if any) of issuer. (1) | 254900DIL842DEXPYJ91 |
| c. Title of the issue or description of the investment. | PECF USS Intermediate Holding III Corp |
| d. CUSIP (if any). | 69291HAA3 |
| At least one of the following other identifiers: |
| - ISIN | US69291HAA32 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP9RHW7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1995885.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.255404800792 |
| 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. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | US ULTRA TREASURY BOND |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | WNM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019PMT1D5 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 129.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 664106.56000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.084982854053 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 912810SE9 |
| - ISIN (if CUSIP is not available). | US912810SE91 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BGRW851 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iii. Expiration date. | 2023-06-21 |
| iv. Aggregate notional amount or contract value on trade date. | 17541018.44000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 664106.56000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EQM MIDSTREAM PARTNERS L |
| b. LEI (if any) of issuer. (1) | 549300NELT611CL6XM83 |
| c. Title of the issue or description of the investment. | EQM Midstream Partners LP |
| d. CUSIP (if any). | 26885BAE0 |
| At least one of the following other identifiers: |
| - ISIN | US26885BAE02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXXB41 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2321595.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.297084505618 |
| 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. | 2048-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PLANVIEW PARENT INC |
| b. LEI (if any) of issuer. (1) | 549300SEALM1D9FKMA32 |
| c. Title of the issue or description of the investment. | Planview Parent Inc |
| d. CUSIP (if any). | 72751PAC8 |
| At least one of the following other identifiers: |
| - ISIN | US72751PAC86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3493063 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4206195.67000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3995023.62000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.511225953313 |
| 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. | 2027-12-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.99840000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2020-DNA6 |
| d. CUSIP (if any). | 35566CBE4 |
| At least one of the following other identifiers: |
| - ISIN | US35566CBE49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPSHQP4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4531677.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.579899173270 |
| 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. | 2050-12-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.20979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PROVINCIA DE CORDOBA |
| b. LEI (if any) of issuer. (1) | 5299006CLM2Z97AATT29 |
| c. Title of the issue or description of the investment. | Provincia de Cordoba |
| d. CUSIP (if any). | 74408DAC8 |
| At least one of the following other identifiers: |
| - ISIN | US74408DAC83 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQLS77 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5547699.89000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.709915243245 |
| 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. | 2025-12-10 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HUARONG FINANCE 2017 CO |
| b. LEI (if any) of issuer. (1) | 5493006V07LYI3HE6G83 |
| c. Title of the issue or description of the investment. | Huarong Finance 2017 Co Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1845207700 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD57DN0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1240000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1234215.66000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.157937258297 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
VIRGIN ISLANDS (BRITISH)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-07-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.07886000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ASURION LLC |
| b. LEI (if any) of issuer. (1) | 549300KNQVXGIOXWK278 |
| c. Title of the issue or description of the investment. | Asurion LLC |
| d. CUSIP (if any). | 04649VBA7 |
| At least one of the following other identifiers: |
| - ISIN | US04649VBA70 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3674951 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4152500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.531377526907 |
| 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. | 2029-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.00230000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928263 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -3360805.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -3360805.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.43006773011 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.18000000 |
| e. Maturity date. | 2032-04-14 |
| 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 | 7000000.00000000 | United States Dollar | 5932500.00000000 | United States Dollar |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VIKING OCEAN CRUISES SHI |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Viking Ocean Cruises Ship VII Ltd |
| d. CUSIP (if any). | 92682RAA0 |
| At least one of the following other identifiers: |
| - ISIN | US92682RAA05 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGS3Q8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1718750.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.219941029349 |
| 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. | 2029-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AMER AIRLN 13-1 A PASS T |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | American Airlines 2013-1 Class A Pass Through Trust |
| d. CUSIP (if any). | 023772AB2 |
| At least one of the following other identifiers: |
| - ISIN | US023772AB21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPBGFV7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2066009.22000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1872690.67000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.239640153374 |
| 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. | 2025-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RP ESCROW ISSUER LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RP Escrow Issuer LLC |
| d. CUSIP (if any). | 74969PAA6 |
| At least one of the following other identifiers: |
| - ISIN | US74969PAA66 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9PQH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1138020.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.145627514309 |
| 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. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | YPF SOCIEDAD ANONIMA |
| b. LEI (if any) of issuer. (1) | 5493003N7447U18U5U53 |
| c. Title of the issue or description of the investment. | YPF SA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | USP989MJBE04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BX2H2W5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6300000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5539369.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.708849239142 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2025-07-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | B3 SA-BRASIL BOLSA BALCA |
| b. LEI (if any) of issuer. (1) | 4GTK5S46E6H318LMDS44 |
| c. Title of the issue or description of the investment. | B3 SA - Brasil Bolsa Balcao |
| d. CUSIP (if any). | 11778EAA4 |
| At least one of the following other identifiers: |
| - ISIN | US11778EAA47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8VBW7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1822184.83000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.233177138719 |
| 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. | 2031-09-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DOMINICAN REPUBLIC |
| b. LEI (if any) of issuer. (1) | 254900EHU7Q8FGVPI369 |
| c. Title of the issue or description of the investment. | Dominican Republic International Bond |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | USP3579ECH82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJP84G5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2341640.84000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.299649685361 |
| 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. | 2032-09-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WYNN MACAU LTD |
| b. LEI (if any) of issuer. (1) | 254900NMDQ8ENTHU1I31 |
| c. Title of the issue or description of the investment. | Wynn Macau Ltd |
| d. CUSIP (if any). | 98313RAG1 |
| At least one of the following other identifiers: |
| - ISIN | US98313RAG11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGKST2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4643475.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.594205481458 |
| 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. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BENCHMARK Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Benchmark 2021-B27 Mortgage Trust |
| d. CUSIP (if any). | 08163HBA5 |
| At least one of the following other identifiers: |
| - ISIN | US08163HBA59 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2095924.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.268206424417 |
| 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. | 2054-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 2.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EMPIRE TODAY LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Empire Today LLC |
| d. CUSIP (if any). | 29210RAB1 |
| At least one of the following other identifiers: |
| - ISIN | US29210RAB15 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3573427 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 2462500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1935709.69000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.247704425739 |
| 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. | 2028-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.84760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF KENYA |
| b. LEI (if any) of issuer. (1) | 549300VVURQQYU45PR87 |
| c. Title of the issue or description of the investment. | Republic of Kenya Government International Bond |
| d. CUSIP (if any). | 491798AL8 |
| At least one of the following other identifiers: |
| - ISIN | US491798AL85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRRQ17 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2268000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.290226184473 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
KENYA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-01-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.30000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HUARONG FINANCE 2019 |
| b. LEI (if any) of issuer. (1) | 549300M6T6OW4AGYHK10 |
| c. Title of the issue or description of the investment. | Huarong Finance 2019 Co Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2235973786 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN4LY52 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1210000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1167421.21000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.149389860428 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
VIRGIN ISLANDS (BRITISH)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | USD/JPY FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SD970IG09L13FQOA |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 363232.89000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.046481347328 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -16917283.10000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 2287860000.00000000 |
| Description of currency purchased. |
Japan Yen
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | 363232.89000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MORGAN STANLEY & CO. LLC |
| b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
| c. Title of the issue or description of the investment. | AUD/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | N4B3E4CS0DRROT8O |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 16146.81000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.002066237679 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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. LLC | 9R7GPTSO7KV3UQJZQ078 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -568900.00000000 |
| Description of currency sold. |
Australia Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 396672.92000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | 16146.81000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RUSSIA GOVT BOND - OFZ |
| b. LEI (if any) of issuer. (1) | 5493004EHVGF71PDBU58 |
| c. Title of the issue or description of the investment. | Russian Federal Bond - OFZ |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | RU000A0JXFM1 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD58388 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 239730000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Russia Ruble
|
| e. Value. (4) | 154365.74000000 |
| f. Exchange rate. | 77.65000000 |
| g. Percentage value compared to net assets of the Fund. | 0.019753518401 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
RUSSIAN FEDERATION
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-03-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SPENCER SPIRIT IH LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Spencer Spirit IH LLC |
| d. CUSIP (if any). | 84823UAB8 |
| At least one of the following other identifiers: |
| - ISIN | US84823UAB89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2999508 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 8615576.21000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8540233.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.092856806925 |
| 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. | 2026-06-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.99840000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EARTHSTONE ENERGY HOL |
| b. LEI (if any) of issuer. (1) | 549300HGVO86L8G72J25 |
| c. Title of the issue or description of the investment. | Earthstone Energy Holdings LLC |
| d. CUSIP (if any). | 27034RAA1 |
| At least one of the following other identifiers: |
| - ISIN | US27034RAA14 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP2R4J0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2428281.95000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.310736774768 |
| 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. | 2027-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Greywolf CLO Ltd |
| b. LEI (if any) of issuer. (1) | 5493006V5AX99BBCEZ73 |
| c. Title of the issue or description of the investment. | GREYWOLF CLO VI Ltd |
| d. CUSIP (if any). | 39809HAA1 |
| At least one of the following other identifiers: |
| - ISIN | US39809HAA14 |
| Balance. (2) |
| a. Balance | 3800000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3226751.69000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.412913505834 |
| 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. | 2031-04-26 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.67591000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 888 ACQUISITIONS LTD |
| b. LEI (if any) of issuer. (1) | 254900RFD0BP3JOPZU89 |
| c. Title of the issue or description of the investment. | 888 Acquisitions Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2498544415 |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 1846361.25000000 |
| f. Exchange rate. | 0.92208390 |
| g. Percentage value compared to net assets of the Fund. | 0.236270890982 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
GIBRALTAR
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.55800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF ANGOLA |
| b. LEI (if any) of issuer. (1) | 549300QHR2R3J8JSGK83 |
| c. Title of the issue or description of the investment. | Angolan Government International Bond |
| d. CUSIP (if any). | 035198AF7 |
| At least one of the following other identifiers: |
| - ISIN | US035198AF76 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCNF72 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2966250.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.379578227378 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ANGOLA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-04-14 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IRS USD |
| 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 | SW0WS076802 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 47201.53000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.006040176346 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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. | 3.25000000 |
| Receipts: Base currency. |
United States Dollar
|
| Receipts: Amount. | N/A |
| 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. | THE SECURED OVERNIGHT FINANCING RATE |
| Payments: Floating rate Spread. | 0.00000000 |
| Payment: Floating Rate Reset Dates. | Day |
| Payment: Floating Rate Reset Dates Unit. | 1 |
| Payment: Floating Rate Tenor. | Year |
| Payment: Floating Rate Tenor Unit. | 1 |
| Payments: Base currency |
United States Dollar
|
| Payments: Amount | -12788000.00000000 |
| ii. Termination or maturity date. | 2029-12-31 |
| iii. Upfront payments or receipts | |
| Upfront payments. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| Upfront receipts. | -47994.26000000 |
| ISO Currency Code. |
United States Dollar
|
| iv. Notional amount. | 12788000.00000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. (24) | 95195.79000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST QUANTUM MINERALS L |
| b. LEI (if any) of issuer. (1) | 549300I7UVBGWRYMYZ18 |
| c. Title of the issue or description of the investment. | First Quantum Minerals Ltd |
| d. CUSIP (if any). | 335934AR6 |
| At least one of the following other identifiers: |
| - ISIN | US335934AR67 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZYRK0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2912945.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.372757067470 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2026-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JP Morgan Chase Commercial Mor |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN |
| d. CUSIP (if any). | 46652BBQ1 |
| At least one of the following other identifiers: |
| - ISIN | US46652BBQ14 |
| Balance. (2) |
| a. Balance | 1580000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1178815.41000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.150847927091 |
| 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. | 2037-01-16 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.68819000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ATHENAHEALTH GROUP INC |
| b. LEI (if any) of issuer. (1) | 254900AA3KZN4Q7A5Z33 |
| c. Title of the issue or description of the investment. | AthenaHealth Group Inc |
| d. CUSIP (if any). | 60337JAA4 |
| At least one of the following other identifiers: |
| - ISIN | US60337JAA43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7SNC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2340000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1899517.23000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.243073032630 |
| 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. | 2030-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST BRANDS GROUP LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | First Brands Group LLC |
| d. CUSIP (if any). | 31935HAD9 |
| At least one of the following other identifiers: |
| - ISIN | US31935HAD98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3572759 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5889824.51000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5687361.79000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.727787174617 |
| 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. | 2027-03-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.86580000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CSC HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC Holdings LLC |
| d. CUSIP (if any). | 126307BH9 |
| At least one of the following other identifiers: |
| - ISIN | US126307BH94 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMY0HH5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1443940.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.184774778134 |
| 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. | 2031-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928429 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -2540192.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -2540192.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.32505742151 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.25000000 |
| e. Maturity date. | 2034-01-23 |
| 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 | 6400000.00000000 | United States Dollar | 4536000.00000000 | United States Dollar |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HIGHLAND HOLDINGS BOND |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc |
| d. CUSIP (if any). | 43103QAA6 |
| At least one of the following other identifiers: |
| - ISIN | US43103QAA67 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL0NSX4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10094427.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9347271.53000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.196130049114 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF GABON |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gabon Government International Bond |
| d. CUSIP (if any). | 362420AE1 |
| At least one of the following other identifiers: |
| - ISIN | US362420AE18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPG9L46 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1540000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1180333.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.151042126542 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
GABON
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-11-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Western Asset Premier Institutional Government Reserves |
| b. LEI (if any) of issuer. (1) | 549300WB3XRN9YTWFB76 |
| c. Title of the issue or description of the investment. | Western Asset Premier Institutional Government Reserves |
| d. CUSIP (if any). | 52470G494 |
| At least one of the following other identifiers: |
| - ISIN | US52470G4947 |
| - Ticker (if ISIN is not available). | WACXX |
| Balance. (2) |
| a. Balance | 8824873.68000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8824873.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.129281047887 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| b. Issuer type. (7) |
Registered fund
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted 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: 234 |
| a. Name of issuer (if any). | OCCIDENTAL PETROLEUM COR |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | Occidental Petroleum Corp |
| d. CUSIP (if any). | 674599DX0 |
| At least one of the following other identifiers: |
| - ISIN | US674599DX07 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJCRNS0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8610000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8807384.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.127043000913 |
| 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. | 2096-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MORGAN STANLEY & CO. LLC |
| b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
| c. Title of the issue or description of the investment. | GBP/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | T365B38ORRUDK4DK |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -308150.37000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.03943267466 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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. LLC | 9R7GPTSO7KV3UQJZQ078 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -20990000.00000000 |
| Description of currency sold. |
United Kingdom Pound
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 25594801.30000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | -308150.37000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | 549300D2VO9JVX6KU482 |
| c. Title of the issue or description of the investment. | STACR Trust 2018-HRP1 |
| d. CUSIP (if any). | 3137G0VB2 |
| At least one of the following other identifiers: |
| - ISIN | US3137G0VB27 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF7J8T9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4768633.10000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5289606.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.676888115127 |
| 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. | 2043-05-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 16.59529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CB POLY US HOLDINGS INC |
| b. LEI (if any) of issuer. (1) | 254900TSH6NNRZ0GUN05 |
| c. Title of the issue or description of the investment. | CB Poly US Holdings Inc |
| d. CUSIP (if any). | 12511PAB7 |
| At least one of the following other identifiers: |
| - ISIN | US12511PAB76 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3909787 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4975000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4897290.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.626685156999 |
| 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. | 2029-05-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.25110000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CSC HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC Holdings LLC |
| d. CUSIP (if any). | 126307BA4 |
| At least one of the following other identifiers: |
| - ISIN | US126307BA42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKFH0Y9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3165000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.405011408227 |
| 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. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Voya CLO Ltd |
| b. LEI (if any) of issuer. (1) | 549300TZK6NKU72KPL60 |
| c. Title of the issue or description of the investment. | Voya CLO 2021-1 Ltd |
| d. CUSIP (if any). | 92918PAA0 |
| At least one of the following other identifiers: |
| - ISIN | US92918PAA03 |
| Balance. (2) |
| a. Balance | 2250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1961809.97000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.251044366073 |
| 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. | 2034-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.14243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KNDR Trust 2021-KIND |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | KIND Trust 2021-KIND |
| d. CUSIP (if any). | 482606AS9 |
| At least one of the following other identifiers: |
| - ISIN | US482606AS97 |
| Balance. (2) |
| a. Balance | 7446183.88000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6730974.94000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.861333851245 |
| 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. | 2038-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.89148000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS SECURITIES CORP. |
| b. LEI (if any) of issuer. (1) | RCNB6OTYUAMMP879YW96 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FXUSEUP0216 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -16640000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -80007.45000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.01023820852 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| Identification of investment. |
| Name of issuer (if any). | BNP PARIBAS SECURITIES CORP. |
| LEI (if any) of issuer. (22) | RCNB6OTYUAMMP879YW96 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | LMF2900_FXUSEUP0216_49_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
FRANCE
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-06-01 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | -16640000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.12130000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-05-31 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 0.00000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CSEMC 2020-1OTF A |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CSEMC 2020-1OTF A |
| 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 | 55968FAA8 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1099447.24000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1074874.59000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.137547068361 |
| 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. | 2024-08-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.38970700 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRIUMPH GROUP INC |
| b. LEI (if any) of issuer. (1) | 5493007L6S47Q14SL582 |
| c. Title of the issue or description of the investment. | Triumph Group Inc |
| d. CUSIP (if any). | 896818AU5 |
| At least one of the following other identifiers: |
| - ISIN | US896818AU56 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQT56H6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9521850.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.218470103452 |
| 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. | 2028-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SARAT 2013-1A F1R3 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SARAT 2013-1A F1R3 |
| 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 | 80349BCB1 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3483771.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.445803184724 |
| 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. | 2033-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.00000100 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Greywolf CLO Ltd |
| b. LEI (if any) of issuer. (1) | 549300RJBZLY8V18YD77 |
| c. Title of the issue or description of the investment. | Greywolf CLO V Ltd |
| d. CUSIP (if any). | 39808TAE8 |
| At least one of the following other identifiers: |
| - ISIN | US39808TAE82 |
| Balance. (2) |
| a. Balance | 6250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5239470.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.670472479769 |
| 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. | 2031-01-27 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.66771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Stratus CLO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Stratus CLO 2022-2 Ltd |
| d. CUSIP (if any). | 86317UAA8 |
| At least one of the following other identifiers: |
| - ISIN | US86317UAA88 |
| Balance. (2) |
| a. Balance | 8200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7693286.04000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.984476654962 |
| 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) |
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. | 2030-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.28904000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MCLAREN FINANCE PLC |
| b. LEI (if any) of issuer. (1) | 213800BKPDWMWX3GSG36 |
| c. Title of the issue or description of the investment. | Mclaren Finance PLC |
| d. CUSIP (if any). | 58175LAA8 |
| At least one of the following other identifiers: |
| - ISIN | US58175LAA89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN75S59 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2140000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1784225.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.228319582889 |
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Mach I |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MACH 1 Cayman 2019-1 Ltd |
| d. CUSIP (if any). | 55446MAB3 |
| At least one of the following other identifiers: |
| - ISIN | US55446MAB37 |
| Balance. (2) |
| a. Balance | 868375.72000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 618925.07000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.079201173519 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| 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. | 2039-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.33500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TKC HOLDINGS INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TKC Holdings Inc |
| d. CUSIP (if any). | 87256YAC7 |
| At least one of the following other identifiers: |
| - ISIN | US87256YAC75 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFF832 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4050000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3423812.41000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.438130516802 |
| 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. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | COMMSCOPE INC |
| b. LEI (if any) of issuer. (1) | 549300Z6K4JXMFE8QY54 |
| c. Title of the issue or description of the investment. | CommScope Inc |
| d. CUSIP (if any). | 20338QAD5 |
| At least one of the following other identifiers: |
| - ISIN | US20338QAD51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGDS1B0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1932410.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.247282178632 |
| 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. | 2026-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JP Morgan Chase Commercial Mor |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ |
| d. CUSIP (if any). | 46654GAA4 |
| At least one of the following other identifiers: |
| - ISIN | US46654GAA40 |
| Balance. (2) |
| a. Balance | 10000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9609498.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.229686104215 |
| 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. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.93500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AUTOKINITON US HOLDINGS |
| b. LEI (if any) of issuer. (1) | 254900EHNKMJ1OSEZL85 |
| c. Title of the issue or description of the investment. | Autokiniton US Holdings Inc |
| d. CUSIP (if any). | 05278HAB2 |
| At least one of the following other identifiers: |
| - ISIN | US05278HAB24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3576594 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3930000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3826837.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.489703900452 |
| 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. | 2028-04-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.34760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GEO GROUP INC/THE |
| b. LEI (if any) of issuer. (1) | 54930024XOXET7NQVZ63 |
| c. Title of the issue or description of the investment. | GEO Group Inc/The |
| d. CUSIP (if any). | 36162JAC0 |
| At least one of the following other identifiers: |
| - ISIN | US36162JAC09 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP0QMQ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3793455.83000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.485432192023 |
| 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. | 2028-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| d. CUSIP (if any). | 76770EAB3 |
| At least one of the following other identifiers: |
| - ISIN | US76770EAB39 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3623552 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 6402500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3901523.44000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.499261138283 |
| 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. | 9.59760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MED Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Med Trust 2021-MDLN |
| d. CUSIP (if any). | 58403YAX4 |
| At least one of the following other identifiers: |
| - ISIN | US58403YAX40 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPCJNP5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6570480.06000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6110535.94000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.781938946629 |
| 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. | 2038-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.68500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALLEN MEDIA LLC |
| b. LEI (if any) of issuer. (1) | 549300ERNJNM4RN5JP79 |
| c. Title of the issue or description of the investment. | Allen Media LLC |
| d. CUSIP (if any). | 01771JAG8 |
| At least one of the following other identifiers: |
| - ISIN | US01771JAG85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3287994 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 7386171.14000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6536761.46000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.836481189307 |
| 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. | 2027-02-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.25580000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Riserva CLO, Ltd. |
| b. LEI (if any) of issuer. (1) | 549300640C8OB2I8SN35 |
| c. Title of the issue or description of the investment. | Riserva Clo Ltd |
| d. CUSIP (if any). | 76761TAJ4 |
| At least one of the following other identifiers: |
| - ISIN | US76761TAJ43 |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1885625.38000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.241295352462 |
| 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. | 2034-01-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.30471000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FORD MOTOR COMPANY |
| b. LEI (if any) of issuer. (1) | 20S05OYHG0MQM4VUIC57 |
| c. Title of the issue or description of the investment. | Ford Motor Co |
| d. CUSIP (if any). | 345370CA6 |
| At least one of the following other identifiers: |
| - ISIN | US345370CA64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 5733992 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2116756.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.270872141685 |
| 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. | 2031-07-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.45000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Wind River CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Wind River 2021-4 CLO Ltd |
| d. CUSIP (if any). | 97316VAC0 |
| At least one of the following other identifiers: |
| - ISIN | US97316VAC00 |
| Balance. (2) |
| a. Balance | 2450000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1770864.44000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.226609889612 |
| 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. | 2035-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.06771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Fortress Credit BSL Limited |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Fortress Credit BSL XII Ltd |
| d. CUSIP (if any). | 34963GAE8 |
| At least one of the following other identifiers: |
| - ISIN | US34963GAE89 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4445246.94000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.568839091022 |
| 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. | 2034-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.92243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RESOLUTE INVESMENT MANA |
| b. LEI (if any) of issuer. (1) | 5493000DRVCSZDWGPC49 |
| c. Title of the issue or description of the investment. | Resolute Investment Managers Inc |
| d. CUSIP (if any). | 04635WAH7 |
| At least one of the following other identifiers: |
| - ISIN | US04635WAH79 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3474675 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3502936.17000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2603855.06000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.333204108900 |
| 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. | 2024-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.08410000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DOMAN BUILDING MATERIALS |
| b. LEI (if any) of issuer. (1) | 529900HEUBRUITK08D78 |
| c. Title of the issue or description of the investment. | Doman Building Materials Group Ltd |
| d. CUSIP (if any). | 13874XAD5 |
| At least one of the following other identifiers: |
| - ISIN | CA13874XAD53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP2FLH1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1950000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Canada Dollar
|
| e. Value. (4) | 1273307.44000000 |
| f. Exchange rate. | 1.35150000 |
| g. Percentage value compared to net assets of the Fund. | 0.162939664891 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RVR DEALERSHIP HOLDINGS |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RVR Dealership Holdings LLC |
| d. CUSIP (if any). | 75001CAB0 |
| At least one of the following other identifiers: |
| - ISIN | US75001CAB00 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3833805 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 917976.17000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 787164.57000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.100730057188 |
| 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. | 2028-02-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.50620000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRANSDIGM INC |
| b. LEI (if any) of issuer. (1) | 88Q84GB3X55CF5OC7582 |
| c. Title of the issue or description of the investment. | TransDigm Inc |
| d. CUSIP (if any). | 893647BH9 |
| At least one of the following other identifiers: |
| - ISIN | US893647BH98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV3SS4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1680000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1677505.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.214663110066 |
| 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. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. (1) | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | IMM EURODOLLAR TIME DEPOSIT |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | EDZ3C99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG00R40ZVS8 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 17.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1487.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000190348963 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Future
|
| 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 INC. | SNZ2OJLFK8MNNCLQOF39 |
| Identification of investment. |
| Name of issuer (if any). | CHICAGO MERCANTILE EXCHANGE INC. |
| LEI (if any) of issuer. (22) | SNZ2OJLFK8MNNCLQOF39 |
| Title of the issue or description of the investment. | CME 3 Month Eurodollar |
| CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | EDZ3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG005Q3B9K9 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-interest rate
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | NA |
| Title of issue. | 90 DAY EURO DOLLAR TIME DEPOSIT |
| At least one of the following other identifiers: |
| - CUSIP. | 000000000 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | 90DEURTD_RATE_EU |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2023-12-18 |
| iv. Aggregate notional amount or contract value on trade date. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 1000000.00000000 |
| v. Exercise price or rate. | 99.00000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-12-18 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -2585.70000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLOUDERA INC |
| b. LEI (if any) of issuer. (1) | 549300PGONC4JOI0RG62 |
| c. Title of the issue or description of the investment. | Cloudera Inc |
| d. CUSIP (if any). | 74339VAE8 |
| At least one of the following other identifiers: |
| - ISIN | US74339VAE83 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3684612 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 2120000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1887690.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.241559604170 |
| 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. | 2029-10-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.84760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LTR INTERMEDIATE HOLDING |
| b. LEI (if any) of issuer. (1) | 549300J0IFHJE2TQGX07 |
| c. Title of the issue or description of the investment. | LTR Intermediate Holdings Inc |
| d. CUSIP (if any). | 50219UAB1 |
| At least one of the following other identifiers: |
| - ISIN | US50219UAB17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3603943 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4925000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4463281.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.571146863942 |
| 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. | 2028-05-07 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.34500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ocean Trails CLO |
| b. LEI (if any) of issuer. (1) | 635400RMMLHBGDGXBC03 |
| c. Title of the issue or description of the investment. | Ocean Trails Clo X |
| d. CUSIP (if any). | 67516BAE1 |
| At least one of the following other identifiers: |
| - ISIN | US67516BAE11 |
| Balance. (2) |
| a. Balance | 3750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3245963.99000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.415372021056 |
| 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. | 2034-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.36243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AKUMIN INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Akumin Inc |
| d. CUSIP (if any). | 01021FAA7 |
| At least one of the following other identifiers: |
| - ISIN | US01021FAA75 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL65X40 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 788765.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.100934857317 |
| 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. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - SCRT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Seasoned Credit Risk Transfer Trust Series 2022-1 |
| d. CUSIP (if any). | 35563PC80 |
| At least one of the following other identifiers: |
| - ISIN | US35563PC802 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4002630.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.512199308977 |
| 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. | 2061-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Multifamily Connecticut Avenue |
| b. LEI (if any) of issuer. (1) | 549300HG8ZEWVWVSN227 |
| c. Title of the issue or description of the investment. | Multifamily Connecticut Avenue Securities Trust 2019-01 |
| d. CUSIP (if any). | 62547NAD1 |
| At least one of the following other identifiers: |
| - ISIN | US62547NAD12 |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1844960.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.236091579059 |
| 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. | 2049-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.59529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | STONEX GROUP INC |
| b. LEI (if any) of issuer. (1) | 549300JUF07L8VF02M60 |
| c. Title of the issue or description of the investment. | StoneX Group Inc |
| d. CUSIP (if any). | 46116VAE5 |
| At least one of the following other identifiers: |
| - ISIN | US46116VAE56 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF0C38 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4681000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4709090.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.602602001381 |
| 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. | 2025-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | New Residential Mortgage Loan |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | New Residential Mortgage Loan Trust 2017-2 |
| d. CUSIP (if any). | 64829KBN9 |
| At least one of the following other identifiers: |
| - ISIN | US64829KBN90 |
| Balance. (2) |
| a. Balance | 2819937.44000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2316321.99000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.296409741256 |
| 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. | 2057-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.29921800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2021-KF117 Mortgage Trust |
| d. CUSIP (if any). | 30320YAE5 |
| At least one of the following other identifiers: |
| - ISIN | US30320YAE59 |
| Balance. (2) |
| a. Balance | 7314972.03000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7288503.54000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.932678383129 |
| 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. | 2031-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.92561000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CRESCENT ENERGY FINANCE |
| b. LEI (if any) of issuer. (1) | 54930061FUL6DBLFUW14 |
| c. Title of the issue or description of the investment. | Crescent Energy Finance LLC |
| d. CUSIP (if any). | 45344LAC7 |
| At least one of the following other identifiers: |
| - ISIN | US45344LAC72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPQYX34 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3710000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3560691.05000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.455646286389 |
| 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. | 2028-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BATH & BODY WORKS INC |
| b. LEI (if any) of issuer. (1) | GR3KVMWVCR54YWQNXU90 |
| c. Title of the issue or description of the investment. | Bath & Body Works Inc |
| d. CUSIP (if any). | 532716AN7 |
| At least one of the following other identifiers: |
| - ISIN | US532716AN75 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B23CFM3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2593618.56000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.331894188116 |
| 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. | 2037-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.60000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FULL HOUSE RESORTS INC |
| b. LEI (if any) of issuer. (1) | 5493009DKIWW0H901Y82 |
| c. Title of the issue or description of the investment. | Full House Resorts Inc |
| d. CUSIP (if any). | 359678AC3 |
| At least one of the following other identifiers: |
| - ISIN | US359678AC31 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKTVG0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7287200.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.932511574733 |
| 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. | 2028-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sound Point CLO LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Sound Point CLO XXVI Ltd |
| d. CUSIP (if any). | 83615BAJ7 |
| At least one of the following other identifiers: |
| - ISIN | US83615BAJ70 |
| Balance. (2) |
| a. Balance | 4200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3390798.23000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.433905834485 |
| 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. | 2034-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.66771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | GBP/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | Q65T2873ELALDSB3 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 105942.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.013557011490 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -2459457.00000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 2079000.00000000 |
| Description of currency purchased. |
United Kingdom Pound
|
| iii. Settlement date. | 2023-04-14 |
| iv. Unrealized appreciation or depreciation. (24) | 105942.55000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AMERICAN AIRLINES INC |
| b. LEI (if any) of issuer. (1) | IWUQB36BXD6OWD6X4T14 |
| c. Title of the issue or description of the investment. | American Airlines Inc |
| d. CUSIP (if any). | 023771S58 |
| At least one of the following other identifiers: |
| - ISIN | US023771S586 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFQ8S0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4140000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4533507.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.580133350482 |
| 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. | 2025-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | Freddie Mac Structured Agency Credit Risk Debt Notes |
| d. CUSIP (if any). | 35564KDY2 |
| At least one of the following other identifiers: |
| - ISIN | US35564KDY29 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXZDY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5281766.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.675884880755 |
| 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. | 2033-08-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.55979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BATH & BODY WORKS INC |
| b. LEI (if any) of issuer. (1) | GR3KVMWVCR54YWQNXU90 |
| c. Title of the issue or description of the investment. | Bath & Body Works Inc |
| d. CUSIP (if any). | 501797AM6 |
| At least one of the following other identifiers: |
| - ISIN | US501797AM65 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYMC9V5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2908067.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.372132863631 |
| 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. | 2036-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INDY US HOLDCO LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Indy US Holdco LLC |
| d. CUSIP (if any). | 45674PAL8 |
| At least one of the following other identifiers: |
| - ISIN | US45674PAL85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL4202497 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1632302.41000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1423163.66000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.182116119454 |
| 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. | 2028-03-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.07710000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | National Collegiate Commutatio |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | National Collegiate VI 2007-4 Class A-3L Commutation Trust |
| d. CUSIP (if any). | 63546VAA8 |
| At least one of the following other identifiers: |
| - ISIN | US63546VAA89 |
| Balance. (2) |
| a. Balance | 27730207.79000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5290258.12000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.676971529562 |
| 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. | 2038-03-29 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.69529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BLUE RACER MID LLC/FINAN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Blue Racer Midstream LLC / Blue Racer Finance Corp |
| d. CUSIP (if any). | 095796AE8 |
| At least one of the following other identifiers: |
| - ISIN | US095796AE85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFWST21 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 362000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 351601.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.044992934881 |
| 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. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MORGAN STANLEY & CO. LLC |
| b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
| c. Title of the issue or description of the investment. | USD/AUD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 7B8T7TJMC8SLOVGU |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -6634.31000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00084896405 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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. LLC | 9R7GPTSO7KV3UQJZQ078 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -173854.43000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 250000.00000000 |
| Description of currency purchased. |
Australia Dollar
|
| iii. Settlement date. | 2023-04-18 |
| iv. Unrealized appreciation or depreciation. (24) | -6634.31000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRANSPORT DE GAS DEL SUR |
| b. LEI (if any) of issuer. (1) | 5299002TRC7IFQYSW596 |
| c. Title of the issue or description of the investment. | Transportadora de Gas del Sur SA |
| d. CUSIP (if any). | 893870AX3 |
| At least one of the following other identifiers: |
| - ISIN | US893870AX30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDFBVW7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4728937.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.605141749223 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2025-05-02 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Natixis Commercial Mortgage Se |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Natixis Commercial Mortgage Securities Trust |
| d. CUSIP (if any). | 63875JAN8 |
| At least one of the following other identifiers: |
| - ISIN | US63875JAN81 |
| Balance. (2) |
| a. Balance | 3042174.01000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2882490.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.368859897980 |
| 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. | 2035-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.02009000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Credit Suisse Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CSMC 2021-ADV |
| d. CUSIP (if any). | 12660WAS4 |
| At least one of the following other identifiers: |
| - ISIN | US12660WAS44 |
| Balance. (2) |
| a. Balance | 8350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7152093.14000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.915222532196 |
| 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. | 2038-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.93500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Symphony CLO Ltd |
| b. LEI (if any) of issuer. (1) | 549300JQYSBIW1AM8R32 |
| c. Title of the issue or description of the investment. | Symphony CLO XVIII Ltd |
| d. CUSIP (if any). | 87154FAG2 |
| At least one of the following other identifiers: |
| - ISIN | US87154FAG28 |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2588662.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.331259944090 |
| 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. | 2033-07-23 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.88529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | COMERICA INC |
| b. LEI (if any) of issuer. (1) | I9Q57JVPWHHZ3ZGBW498 |
| c. Title of the issue or description of the investment. | Comerica Inc |
| d. CUSIP (if any). | 200340AS6 |
| At least one of the following other identifiers: |
| - ISIN | US200340AS60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2F2S9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2317000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2221906.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.284327753162 |
| 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. | 2023-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BURFORD CAPITAL GLBL FIN |
| b. LEI (if any) of issuer. (1) | 549300JVAOO67CSCH406 |
| c. Title of the issue or description of the investment. | Burford Capital Global Finance LLC |
| d. CUSIP (if any). | 12116LAC3 |
| At least one of the following other identifiers: |
| - ISIN | US12116LAC37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNFYT9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4739841.26000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.606537056393 |
| 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. | 2030-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HAWAIIAN BRAND INTELLECT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd |
| d. CUSIP (if any). | 41984LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US41984LAA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGWDD7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 950620.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.121646744040 |
| 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. | 2026-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Voya CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Voya CLO 2018-2 Ltd |
| d. CUSIP (if any). | 92917TAA3 |
| At least one of the following other identifiers: |
| - ISIN | US92917TAA34 |
| Balance. (2) |
| a. Balance | 6750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5428256.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.694630587451 |
| 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. | 2031-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.04243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AMERICAN NEWS COMPANY |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | American News Co LLC |
| d. CUSIP (if any). | 02862PAA5 |
| At least one of the following other identifiers: |
| - ISIN | US02862PAA57 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVN7W1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1965538.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2233342.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.285791219977 |
| 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. | 2026-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Helios Issuer, LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SUNNOVA HELIOS II ISSUER LLC 2018-1 |
| d. CUSIP (if any). | 86745JAB3 |
| At least one of the following other identifiers: |
| - ISIN | US86745JAB35 |
| Balance. (2) |
| a. Balance | 4121628.47000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3512633.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.449496575251 |
| 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. | 2048-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.71000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WEATHERFORD INTL LTD |
| b. LEI (if any) of issuer. (1) | 549300A2JKMG5PGOGF82 |
| c. Title of the issue or description of the investment. | Weatherford International Ltd |
| d. CUSIP (if any). | 947075AP2 |
| At least one of the following other identifiers: |
| - ISIN | US947075AP29 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2F8X8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 193000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 198223.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.025365755726 |
| 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. | 2024-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS SECURITIES CORP. |
| b. LEI (if any) of issuer. (1) | RCNB6OTYUAMMP879YW96 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | UPEPCD5HDLHBDAO9 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -68026.09000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00870500553 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| 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 |
| 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 SECURITIES CORP. | RCNB6OTYUAMMP879YW96 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -3550000.00000000 |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 3795865.90000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2023-06-02 |
| iv. Unrealized appreciation or depreciation. (24) | -68026.09000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Maps LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MAPS 2021-1 Trust |
| d. CUSIP (if any). | 55292RAC5 |
| At least one of the following other identifiers: |
| - ISIN | US55292RAC51 |
| Balance. (2) |
| a. Balance | 3188203.91000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2084464.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.266739912019 |
| 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. | 2046-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.43700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| d. CUSIP (if any). | 75774EAK1 |
| At least one of the following other identifiers: |
| - ISIN | US75774EAK10 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3600709 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 2690000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1565970.05000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.200390437659 |
| 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. | 2029-08-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.59310000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DIRECTV FIN LLC/COINC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Directv Financing LLC / Directv Financing Co-Obligor Inc |
| d. CUSIP (if any). | 25461LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US25461LAA08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN765Z1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 14000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12693240.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.624299212437 |
| 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. | 2027-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VIRGIN PULSE INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Virgin Pulse Inc |
| 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 | BL3591684 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 6500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4891250.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.625912180249 |
| 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. | 2029-04-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.09760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Multifamily Structured Credit |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac Multifamily Structured Credit Risk |
| d. CUSIP (if any). | 35563JAC7 |
| At least one of the following other identifiers: |
| - ISIN | US35563JAC71 |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2020500.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.258554772221 |
| 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. | 2041-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.05979000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CREDIT SUISSE NEW YORK |
| b. LEI (if any) of issuer. (1) | 549300D0YARF5HYP1809 |
| c. Title of the issue or description of the investment. | Credit Suisse AG/New York NY |
| d. CUSIP (if any). | 22550L2L4 |
| At least one of the following other identifiers: |
| - ISIN | US22550L2L41 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNMPD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2035520.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.260476720908 |
| 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. | 2025-01-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.95000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST BRANDS GROUP LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | First Brands Group LLC |
| d. CUSIP (if any). | 31935HAF4 |
| At least one of the following other identifiers: |
| - ISIN | US31935HAF47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3572783 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5390000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4806101.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.615016068118 |
| 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. | 2028-03-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.77230000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Symphony CLO Ltd |
| b. LEI (if any) of issuer. (1) | 5493005CJY0RF4FJJP54 |
| c. Title of the issue or description of the investment. | Symphony CLO XXI Ltd |
| d. CUSIP (if any). | 87167CAW9 |
| At least one of the following other identifiers: |
| - ISIN | US87167CAW91 |
| Balance. (2) |
| a. Balance | 2800000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2490410.36000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.318687079610 |
| 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. | 2032-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.39243000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CRESCENT ENERGY FINANCE |
| b. LEI (if any) of issuer. (1) | 54930061FUL6DBLFUW14 |
| c. Title of the issue or description of the investment. | Crescent Energy Finance LLC |
| d. CUSIP (if any). | 45344LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US45344LAA17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN29V13 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4670000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4394096.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.562293576887 |
| 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. | 2026-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SIZZLING PLATT/FIN CO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Sizzling Platter LLC / Sizzling Platter Finance Corp |
| d. CUSIP (if any). | 830146AB2 |
| At least one of the following other identifiers: |
| - ISIN | US830146AB28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNDVXV2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6287583.33000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.804594938018 |
| 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. | 2025-11-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CITY OF BUENOS AIRES |
| b. LEI (if any) of issuer. (1) | 5299007MC8RF52X0ON96 |
| c. Title of the issue or description of the investment. | Ciudad Autonoma De Buenos Aires/Government Bonds |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1422866456 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYZ97J7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1794420.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.229624193096 |
| 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. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | Goldman Sachs & Co |
| 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 | RP928350 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -2906048.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -2906048.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.37187443692 |
| a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
| a. Asset type. (6) |
Repurchase agreement
|
| 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 |
| 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 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| c. Tri-party? | ☐ Yes ☒ No |
| d. Repurchase rate. | 5.18000000 |
| e. Maturity date. | 2026-07-06 |
| 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 | 6400000.00000000 | United States Dollar | 5854822.40000000 | United States Dollar |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BENCHMARK Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Benchmark 2021-B27 Mortgage Trust |
| d. CUSIP (if any). | 08163HAY4 |
| At least one of the following other identifiers: |
| - ISIN | US08163HAY45 |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2182120.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.279236491033 |
| 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. | 2054-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 2.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RR DONNELLEY & SONS CO |
| b. LEI (if any) of issuer. (1) | SU4X0P4WWRGOQDTSV032 |
| c. Title of the issue or description of the investment. | RR DONNELLEY & SONS CO |
| 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 | BL4219624 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 8000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7933320.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.015192766229 |
| 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. | 2028-03-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.05340000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Wind River CLO Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Wind River 2021-4 CLO Ltd |
| d. CUSIP (if any). | 97316VAL0 |
| At least one of the following other identifiers: |
| - ISIN | US97316VAL09 |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2829311.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.362054797765 |
| 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. | 2035-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 13.05771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HUNT COS INC |
| b. LEI (if any) of issuer. (1) | 549300ODPWDNCH5TKM49 |
| c. Title of the issue or description of the investment. | Hunt Cos Inc |
| d. CUSIP (if any). | 445587AE8 |
| At least one of the following other identifiers: |
| - ISIN | US445587AE85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD5CB0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5088246.09000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.651120920795 |
| 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. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| d. CUSIP (if any). | 07335BAA4 |
| At least one of the following other identifiers: |
| - ISIN | US07335BAA44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKF9DX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5380000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1421270.59000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.181873871446 |
| 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. | 10.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NEWELL BRANDS INC |
| b. LEI (if any) of issuer. (1) | 549300LWGYFM1TVO1Z12 |
| c. Title of the issue or description of the investment. | Newell Brands Inc |
| d. CUSIP (if any). | 651229AY2 |
| At least one of the following other identifiers: |
| - ISIN | US651229AY21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD3J3M7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3069487.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.392789085279 |
| 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. | 2046-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NSG HOLDINGS LLC/NSG HLD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NSG Holdings LLC / NSG Holdings Inc |
| d. CUSIP (if any). | 62940QAA3 |
| At least one of the following other identifiers: |
| - ISIN | US62940QAA31 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1TSCP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2449812.78000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2425106.42000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.310330415881 |
| 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. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ACCELERATE360 HOLD LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Accelerate360 Holdings LLC |
| d. CUSIP (if any). | 00456LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US00456LAA08 |
| Balance. (2) |
| a. Balance | 4259550.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4557143.46000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.583158006391 |
| 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. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ONE CALL CORP |
| b. LEI (if any) of issuer. (1) | 549300WUCCV86ZQHG041 |
| c. Title of the issue or description of the investment. | One Call Corp |
| d. CUSIP (if any). | 68235XAB7 |
| At least one of the following other identifiers: |
| - ISIN | US68235XAB73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3591601 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 6895000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5205725.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.666154190550 |
| 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. | 2027-04-22 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.31560000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PLASTICS MANAGEMENT LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Plastics Management LLC |
| 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 | BL3720549 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 4943377.58000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4550575.38000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.582317517503 |
| 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. | 2027-08-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.77770000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CINEMARK USA INC |
| b. LEI (if any) of issuer. (1) | 54930008H2137JSCPQ09 |
| c. Title of the issue or description of the investment. | Cinemark USA Inc |
| d. CUSIP (if any). | 172441BF3 |
| At least one of the following other identifiers: |
| - ISIN | US172441BF30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0WZH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2165375.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.277093705557 |
| 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. | 2028-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALLEN MEDIA LLC/CO-ISSR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Allen Media LLC / Allen Media Co-Issuer Inc |
| d. CUSIP (if any). | 01771YAA8 |
| At least one of the following other identifiers: |
| - ISIN | US01771YAA82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKTQVJ4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9160000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5026275.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.643190773108 |
| 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. | 2028-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UBS Commercial Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | UBS Commercial Mortgage Trust 2018-NYCH |
| d. CUSIP (if any). | 90266HAQ5 |
| At least one of the following other identifiers: |
| - ISIN | US90266HAQ56 |
| Balance. (2) |
| a. Balance | 6000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5730334.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.733286168705 |
| 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. | 2032-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.50500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MICHAELS COS INC/THE |
| b. LEI (if any) of issuer. (1) | 549300H9LWMBP7HYLR98 |
| c. Title of the issue or description of the investment. | Michaels Cos Inc/The |
| d. CUSIP (if any). | 55916AAB0 |
| At least one of the following other identifiers: |
| - ISIN | US55916AAB08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6JYJ8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7009450.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.896969104391 |
| 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. | 2029-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FAGE INTL / FAGE USA |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FAGE International SA / FAGE USA Dairy Industry Inc |
| d. CUSIP (if any). | 30257WAA4 |
| At least one of the following other identifiers: |
| - ISIN | US30257WAA45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BY7RWT4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7478591.04000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.957003061189 |
| 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. | 2026-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROCKIES EXPRESS PIPELINE |
| b. LEI (if any) of issuer. (1) | W2ZGZGZKY5GGNY6F3V51 |
| c. Title of the issue or description of the investment. | Rockies Express Pipeline LLC |
| d. CUSIP (if any). | 77340RAD9 |
| At least one of the following other identifiers: |
| - ISIN | US77340RAD98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3B9SZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9196100.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.176785279999 |
| 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. | 2038-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ASURION LLC |
| b. LEI (if any) of issuer. (1) | 549300KNQVXGIOXWK278 |
| c. Title of the issue or description of the investment. | Asurion LLC |
| d. CUSIP (if any). | 04649VAZ3 |
| At least one of the following other identifiers: |
| - ISIN | US04649VAZ31 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3547868 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 5000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4183750.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.535376454714 |
| 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. | 2028-02-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.09760000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | XPO CNW INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | XPO CNW Inc |
| d. CUSIP (if any). | 12612WAB0 |
| At least one of the following other identifiers: |
| - ISIN | US12612WAB00 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B02FXQ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3992000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3618246.41000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.463011397733 |
| 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. | 2034-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SANDS CHINA LTD |
| b. LEI (if any) of issuer. (1) | 549300EVO6UZDGY05787 |
| c. Title of the issue or description of the investment. | Sands China Ltd |
| d. CUSIP (if any). | 80007RAQ8 |
| At least one of the following other identifiers: |
| - ISIN | US80007RAQ83 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG94T8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2494450.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.319204078912 |
| 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. | 2029-03-08 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.35000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHINA SCE GRP HLDGS LTD |
| b. LEI (if any) of issuer. (1) | 549300Q8UEI2ERAP6P49 |
| c. Title of the issue or description of the investment. | China SCE Group Holdings Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1974405893 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJQNYW5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2037010.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.260667389786 |
| 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. | 2024-04-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | CBOT US Treasure Bond |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | USM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019PMT1H1 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | 59.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 345475.92000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.044209064413 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 912810QC5 |
| - ISIN (if CUSIP is not available). | US912810QC53 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B43HGR4 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iii. Expiration date. | 2023-06-21 |
| iv. Aggregate notional amount or contract value on trade date. | 7392742.83000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. (24) | 345475.92000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Fannie Mae - CAS |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Connecticut Avenue Securities Trust 2019-R07 |
| d. CUSIP (if any). | 20753WAE6 |
| At least one of the following other identifiers: |
| - ISIN | US20753WAE66 |
| Balance. (2) |
| a. Balance | 4940000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4864868.53000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.622536257243 |
| 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. | 2039-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.24529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JP Morgan Chase Commercial Mor |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT |
| d. CUSIP (if any). | 46645WBL6 |
| At least one of the following other identifiers: |
| - ISIN | US46645WBL63 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJK40T3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2820000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.360863245245 |
| 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) | Variable |
| ii. Annualized rate. | 5.36350000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | IDEAL STANDARD INTL SA |
| b. LEI (if any) of issuer. (1) | 5299004EW24BCHXOHD09 |
| c. Title of the issue or description of the investment. | Ideal Standard International SA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2369021022 |
| Balance. (2) |
| a. Balance | 1390000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 839720.27000000 |
| f. Exchange rate. | 0.92208390 |
| g. Percentage value compared to net assets of the Fund. | 0.107455383592 |
| 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. | 2026-07-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | 5493003FQV7GR462GO02 |
| c. Title of the issue or description of the investment. | Freddie Mac Stacr Remic Trust 2020-DNA1 |
| d. CUSIP (if any). | 35565HBE4 |
| At least one of the following other identifiers: |
| - ISIN | US35565HBE45 |
| Balance. (2) |
| a. Balance | 2225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2042865.51000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.261416694162 |
| 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. | 2050-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.09529000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PACTIV LLC |
| b. LEI (if any) of issuer. (1) | 549300O4WTC6DL4JIE57 |
| c. Title of the issue or description of the investment. | Pactiv LLC |
| d. CUSIP (if any). | 880394AE1 |
| At least one of the following other identifiers: |
| - ISIN | US880394AE11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B5ZPCJ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9886600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.265145588808 |
| 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. | 2027-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRANSDIGM INC |
| b. LEI (if any) of issuer. (1) | 88Q84GB3X55CF5OC7582 |
| c. Title of the issue or description of the investment. | TransDigm Inc |
| d. CUSIP (if any). | 893647BK2 |
| At least one of the following other identifiers: |
| - ISIN | US893647BK28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBQFR2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2038750.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.260890050086 |
| 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. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | YUZHOU GROUP |
| b. LEI (if any) of issuer. (1) | 213800MP59KHGJSPHE82 |
| c. Title of the issue or description of the investment. | Yuzhou Group Holdings Co Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2073593274 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKLRL84 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5550000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 544510.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.069678661737 |
| 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. | 2024-10-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.37500000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GRANITE POINT MTGE TRST |
| b. LEI (if any) of issuer. (1) | 529900VX2HQZ76AYIE02 |
| c. Title of the issue or description of the investment. | Granite Point Mortgage Trust Inc |
| d. CUSIP (if any). | 38741L305 |
| At least one of the following other identifiers: |
| - ISIN | US38741L3050 |
| - Ticker (if ISIN is not available). | GPMT |
| Balance. (2) |
| a. Balance | 160400.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2646600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.338673994633 |
| 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: 340 |
| a. Name of issuer (if any). | VERICAST CORP |
| b. LEI (if any) of issuer. (1) | 549300J73P7FL8TVF308 |
| c. Title of the issue or description of the investment. | Vericast Corp |
| d. CUSIP (if any). | 92342NAK9 |
| At least one of the following other identifiers: |
| - ISIN | US92342NAK90 |
| Balance. (2) |
| a. Balance | 590000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 668897.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.085595961986 |
| 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. | 2027-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 12.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLUBCORP HOLDINGS INC |
| b. LEI (if any) of issuer. (1) | 549300XWSO7KBICXNW37 |
| c. Title of the issue or description of the investment. | ClubCorp Holdings Inc |
| d. CUSIP (if any). | 18948TAB9 |
| At least one of the following other identifiers: |
| - ISIN | US18948TAB98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2683136 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 7363636.36000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7050681.81000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.902245361399 |
| 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. | 2024-09-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.56560000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GEO GROUP INC/THE |
| b. LEI (if any) of issuer. (1) | 54930024XOXET7NQVZ63 |
| c. Title of the issue or description of the investment. | GEO Group Inc/The |
| d. CUSIP (if any). | 36162JAD8 |
| At least one of the following other identifiers: |
| - ISIN | US36162JAD81 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNBR8Y0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6048000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5898977.28000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.754866696768 |
| 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. | 2028-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| b. LEI (if any) of issuer. (1) | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | US 5 YEAR TREASURY NOTE |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | FVM3C112 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019XGV627 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Balance. (2) |
| a. Balance | -110.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -42109.43000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00538856225 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-interest rate
|
| 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 |
| a. Type of derivative instrument (21) |
Option
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| 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 |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Future
|
| 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 | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 549300EX04Q2QBFQTQ27 |
| Identification of investment. |
| Name of issuer (if any). | BOARD OF TRADE OF THE CITY OF CHICAGO, INC. |
| LEI (if any) of issuer. (22) | 549300EX04Q2QBFQTQ27 |
| Title of the issue or description of the investment. | CBOT 5 YEAR US TREASURY NOTE |
| CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | FVM3 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG019V448L1 |
| Description of other unique identifier. | ID_BB_GLOBAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-interest rate
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| c. For futures and forwards (other than forward foreign currency contracts), provide: |
| i. Payoff profile, selected from among the following (long, short). | Long |
| ii. Description of reference instrument, as required by sub-Item C.11.c.iii. |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | US TREASURY N/B |
| Title of issue. | United States Treasury Note/Bond |
| At least one of the following other identifiers: |
| - CUSIP. | 91282CFM8 |
| - ISIN (if CUSIP is not available). | US91282CFM82 |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BN6ML41 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iii. Expiration date. | 2023-06-30 |
| iv. Aggregate notional amount or contract value on trade date. | 0.00000000 |
| ISO Currency Code. |
United States Dollar
|
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100000.00000000 |
| v. Exercise price or rate. | 112.00000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-05-26 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 92762.77000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LADDER CAP FIN LLLP/CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp |
| d. CUSIP (if any). | 505742AM8 |
| At least one of the following other identifiers: |
| - ISIN | US505742AM88 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVB6G2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1090000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 862146.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.110325158787 |
| 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. | 4.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as 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. |
| The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
| Registrant: | Western Asset Diversified Income Fund |
| By (Signature): | Christopher Berarducci |
| Name: | Christopher Berarducci |
| Title: | Principal Financial Officer |
| Date: | 2023-05-18 |
1 Year Western Asset Diversifie... Chart |
1 Month Western Asset Diversifie... Chart |
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