|
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P Monthly Portfolio Investments Report |
| Confidential | ☐ |
| Filer CIK | 0001602584 |
| 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 | Calamos Dynamic Convertible & Income Fund |
| b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-22949 |
| c. CIK number of Registrant | 0001602584 |
| d. LEI of Registrant | 5493003QCLIH42Q8R445 |
| e. Address and telephone number of Registrant: |
| i. Street Address 1 | 2020 Calamos Court |
| ii. Street Address 2 | |
| iii. City | Naperville |
| iv. State, if applicable | |
| v. Foreign country, if applicable | |
| vi. Zip / Postal Code | 60563 |
| vii. Telephone number | 6302457200 |
| a. Name of Series. | Calamos Dynamic Convertible & Income Fund |
| b. EDGAR series identifier (if any). | |
| c. LEI of Series. | 5493003QCLIH42Q8R445 |
| a. Date of fiscal year-end. | 2021-10-31 |
| b. Date as of which information is reported. | 2021-10-31 |
| 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. | 1158424615.700000000000 |
| b. Total liabilities. | 370005031.380000000000 |
| c. Net assets. | 788419584.320000000000 |
| a. Assets attributable to miscellaneous securities reported in Part D. | 0.000000000000 |
| 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. | 0.000000000000 |
| 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. | 0.000000000000 |
| Controlled companies. | 0.000000000000 |
| Other affiliates. | 0.000000000000 |
| Others. | 0.000000000000 |
| Amounts payable after one year. | |
| Banks or other financial institutions for borrowings. | 270000000.000000000000 |
| Controlled companies. | 0.000000000000 |
| Other affiliates. | 0.000000000000 |
| Others. | 0.000000000000 |
| 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: | 0.000000000000 |
| (ii) On a standby commitment basis: | 0.000000000000 |
| e. Liquidation preference of outstanding preferred stock issued by the Fund. | 92000000.000000000000 |
| f. Cash and cash equivalents not reported in Parts C and D. | 40953376.550000000000 |
| If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide: |
| a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years |
|---|---|---|---|---|---|---|
| #1 | United States Dollar | |||||
| Interest Rate Risk (DV01) | ||||||
| 6490.866821815347 | 491342.750939895015 | 564081.017737246837 | 27237.697673389130 | 18105.265791275678 | ||
| Interest Rate Risk (DV100) | ||||||
| 649086.682181534598 | 49134275.093989491988 | 56408101.773724678333 | 2723769.767338913194 | 1810526.579127567962 | ||
| 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 | 2539.016649900879 | 22004.391284241552 | 15335.355383641315 | 1643.829520994129 | 16277.316291668123 |
| Non-Investment grade | 3951.850171914468 | 469338.359655653463 | 548745.662353605522 | 25593.868152395001 | 1827.949499607555 |
|
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 |
|---|---|---|---|
| #1 | BNP PARIBAS SECURITIES CORPORATION | RCNB6OTYUAMMP879YW96 | 654039.880000000000 |
| #2 | WELLS FARGO BANK NATIONAL ASSOCIATION | KB1H1DSPRFMYMCUFXT09 | 317961.240000000000 |
| #3 | WEDBUSH SECURITIES, INC. | 549300CSX55MXZ47EI78 | 97901.000000000000 |
| #4 | ING FINANCIAL MARKETS LLC | KBVRJ5K57JZ3E2AVWX40 | 60107.250000000000 |
| #5 | TRUIST SECURITIES, INC. | CSVTK36R0PNGXEM7NS14 | 400600.910000000000 |
| #6 | DEUTSCHE BANK SECURITIES INC. | 9J6MBOOO7BECTDTUZW19 | 35835.960000000000 |
| #7 | TD PRIME SERVICES LLC | 549300ZBQI1JB1844X09 | 251091.870000000000 |
| #8 | JP MORGAN SECURITIES LLC | ZBUT11V806EZRVTWT807 | 32463331.910000000000 |
| #9 | MORGAN STANLEY & CO. LLC. | 9R7GPTSO7KV3UQJZQ078 | 8033578.480000000000 |
| #10 | COWEN AND COMPANY, LLC | 549300WR155U7DVMIW58 | 82500.090000000000 |
| #11 | BARCLAYS CAPITAL INC. | AC28XWWI3WIBK2824319 | 7828447.960000000000 |
| #12 | BOFA SECURITIES, INC. | 549300HN4UKV1E2R3U73 | 18720188.550000000000 |
| #13 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 | 10672279.360000000000 |
| #14 | BNP PARIBAS PRIME BROKERAGE INTERNATIONAL LIMITED | 549300KUN9K9K32C6D97 | 9022037.950000000000 |
| #15 | CITADEL CLEARING LLC | 5493001I7IJ4CW6Q9N27 | 45573652.190000000000 |
| #16 | BNP PARIBAS (NEW YORK BRANCH) | RCNB6OTYUAMMP879YW96 | 363077.980000000000 |
| #17 | WELLS FARGO SECURITIES, LLC | VYVVCKR63DVZZN70PB21 | 3904984.530000000000 |
| #18 | SCOTIA CAPITAL (USA) INC. | 549300BLWPABP1VNME36 | 4995676.570000000000 |
| #19 | JEFFERIES LLC | 58PU97L1C0WSRCWADL48 | 64248.680000000000 |
| #20 | HSBC SECURITIES (USA) INC. | 2138009VAYRDBD59W149 | 8834746.500000000000 |
| #21 | CITADEL SECURITIES LLC | 12UUJYTN7D3SW8KCSG25 | 72437.750000000000 |
| #22 | MIZUHO SECURITIES USA LLC | 7TK5RJIZDFROZCA6XF66 | 21584.000000000000 |
| #23 | RBC CAPITAL MARKETS, LLC | 549300LCO2FLSSVFFR64 | 1253089.010000000000 |
| #24 | CITIGROUP GLOBAL MARKETS INC. | MBNUM2BPBDO7JBLYG310 | 14627511.050000000000 |
| #25 | CREDIT SUISSE SECURITIES (USA) LLC | 1V8Y6QCX6YMJ2OELII46 | 719381.470000000000 |
| 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 | 2.56 | -1.37 | 4.75 | |
| b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
| Asset category | Instrument type | Month 1 | Month 2 | Month 3 | |||
| Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | ||
| Commodity Contracts | — | — | — | — | — | — | |
| Credit Contracts | — | — | — | — | — | — | |
| Equity Contracts | N/A | -5787953.9800 | -3166726.8400 | 4425248.2400 | N/A | -6694727.0500 | |
| Forward | — | — | — | — | — | — | |
| Future | — | — | — | — | — | — | |
| Option | N/A | -5803245.0000 | -3166726.8400 | 4404815.6400 | N/A | -6716162.0700 | |
| Swaption | — | — | — | — | — | — | |
| Swap | — | — | — | — | — | — | |
| Warrant | N/A | 15291.0200 | N/A | 20432.6000 | N/A | 21435.0200 | |
| Other | — | — | — | — | — | — | |
| Foreign Exchange Contracts | — | — | — | — | — | — | |
| Interest Rate Contracts | — | — | — | — | — | — | |
| Other Contracts | — | — | — | — | — | — | |
| c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
| Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
|---|---|---|
| Month 1 | 2636860.8300 | 22085414.1400 |
| Month 2 | -7986296.1900 | -3835357.9600 |
| Month 3 | -293487.8700 | 43475555.6300 |
| 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 | 1450555.83 | 277373.29 | 0 |
| Month 2 | 721039.96 | 139769.72 | 0 |
| Month 3 | 3293325.8 | 279608.82 | 0 |
| 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). | Ally Financial Inc |
| b. LEI (if any) of issuer. (1) | 549300JBN1OSM8YNAI90 |
| c. Title of the issue or description of the investment. | ALLY FINANCIAL INC |
| d. CUSIP (if any). | 02005NBM1 |
| At least one of the following other identifiers: |
| - ISIN | US02005NBM11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7N9G1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 237000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245939.6400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0311940044 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.700 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 247880.900000000000 |
| Schedule of Portfolio Investments Record: 2 |
| a. Name of issuer (if any). | Credit Acceptance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CREDIT ACCEPTANC |
| d. CUSIP (if any). | 225310AN1 |
| At least one of the following other identifiers: |
| - ISIN | US225310AN19 |
| - Ticker (if ISIN is not available). | CACC49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9RYZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 238000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 243895.2600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0309347034 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 72810.680000000000 |
| Schedule of Portfolio Investments Record: 3 |
| a. Name of issuer (if any). | Kaiser Aluminum Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | KAISER ALUMINUM CORP |
| d. CUSIP (if any). | 483007AL4 |
| At least one of the following other identifiers: |
| - ISIN | US483007AL48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL55426 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 33000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 32513.9100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0041239348 |
| 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. | 2031-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 32999.170000000000 |
| Schedule of Portfolio Investments Record: 4 |
| a. Name of issuer (if any). | Team Health Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300PVTQ4UDTTMQT11 |
| c. Title of the issue or description of the investment. | TEAM HEALTH HOLDINGS INC |
| d. CUSIP (if any). | 88047PAA2 |
| At least one of the following other identifiers: |
| - ISIN | US88047PAA21 |
| - Ticker (if ISIN is not available). | TMHL44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYV27S9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 302000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 269821.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0342231352 |
| 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. | 2025-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 271976.060000000000 |
| Schedule of Portfolio Investments Record: 5 |
| a. Name of issuer (if any). | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALLIANT HOLD / CO-ISSUER |
| d. CUSIP (if any). | 01883LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US01883LAA17 |
| - Ticker (if ISIN is not available). | ALIN48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJK69N6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 580000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 601088.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0762397094 |
| 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. | 2027-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 107653.000000000000 |
| Schedule of Portfolio Investments Record: 6 |
| a. Name of issuer (if any). | Sinclair Television Group Inc |
| b. LEI (if any) of issuer. (1) | 549300CQGEN0CH65UD62 |
| c. Title of the issue or description of the investment. | SINCLAIR TELEVISION GROU |
| d. CUSIP (if any). | 829259AY6 |
| At least one of the following other identifiers: |
| - ISIN | US829259AY67 |
| - Ticker (if ISIN is not available). | SBGI49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKWCW18 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129250.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0163935996 |
| 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. | 2030-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 131977.470000000000 |
| Schedule of Portfolio Investments Record: 7 |
| a. Name of issuer (if any). | Constellium SE |
| b. LEI (if any) of issuer. (1) | 724500KRJEMC79KAAU28 |
| c. Title of the issue or description of the investment. | CONSTELLIUM SE |
| d. CUSIP (if any). | 21039CAB0 |
| At least one of the following other identifiers: |
| - ISIN | US21039CAB00 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8C3K2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 242135.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0307114390 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
FRANCE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 241602.000000000000 |
| Schedule of Portfolio Investments Record: 8 |
| a. Name of issuer (if any). | Frontier Florida LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FRONTIER FLORIDA LLC |
| d. CUSIP (if any). | 362333AH9 |
| At least one of the following other identifiers: |
| - ISIN | US362333AH94 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2234711 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 159000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 170850.2700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0216699678 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.860 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 172001.110000000000 |
| Schedule of Portfolio Investments Record: 9 |
| a. Name of issuer (if any). | Acrisure LLC / Acrisure Finance Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ACRISURE LLC / FIN INC |
| d. CUSIP (if any). | 00489LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US00489LAA17 |
| - Ticker (if ISIN is not available). | ACUE45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD0G1S3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 356000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 360631.5600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0457410708 |
| 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. | 7.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 370912.120000000000 |
| Schedule of Portfolio Investments Record: 10 |
| a. Name of issuer (if any). | Golden Nugget Inc |
| b. LEI (if any) of issuer. (1) | 91D14OD6M4H1RVBN7R43 |
| c. Title of the issue or description of the investment. | GOLDEN NUGGET INC |
| d. CUSIP (if any). | 38113YAE9 |
| At least one of the following other identifiers: |
| - ISIN | US38113YAE95 |
| - Ticker (if ISIN is not available). | LNY454 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYWL570 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 200882.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0254790728 |
| 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. | 2024-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 201025.000000000000 |
| Schedule of Portfolio Investments Record: 11 |
| a. Name of issuer (if any). | Audacy Capital Corp |
| b. LEI (if any) of issuer. (1) | 549300S5JUSXRHNCHD80 |
| c. Title of the issue or description of the investment. | ENTERCOM MEDIA CORP |
| d. CUSIP (if any). | 29365DAB5 |
| At least one of the following other identifiers: |
| - ISIN | US29365DAB55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG5B40 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 131000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130033.2200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0164928957 |
| 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. | 2029-03-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 130565.990000000000 |
| Schedule of Portfolio Investments Record: 12 |
| a. Name of issuer (if any). | Cedar Fair LP |
| b. LEI (if any) of issuer. (1) | 549300TUVLNQQ6BVKH61 |
| c. Title of the issue or description of the investment. | CEDAR FAIR LP |
| d. CUSIP (if any). | 150190AE6 |
| At least one of the following other identifiers: |
| - ISIN | US150190AE64 |
| - Ticker (if ISIN is not available). | FUN484 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL9Y7L9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 207000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 214739.7300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0272367321 |
| 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. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 217638.960000000000 |
| Schedule of Portfolio Investments Record: 13 |
| a. Name of issuer (if any). | Charles River Laboratories International Inc |
| b. LEI (if any) of issuer. (1) | 549300BSQ0R4UZ5KX287 |
| c. Title of the issue or description of the investment. | CHARLES RIVER LABORATORI |
| d. CUSIP (if any). | 159864AG2 |
| At least one of the following other identifiers: |
| - ISIN | US159864AG27 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6J2C7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131437.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0166710471 |
| 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. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 4058.330000000000 |
| Schedule of Portfolio Investments Record: 14 |
| a. Name of issuer (if any). | Bill.com Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300IBF9VZZIGOZW63 |
| c. Title of the issue or description of the investment. | BILL.COM HOLDINGS INC |
| d. CUSIP (if any). | 090043AC4 |
| At least one of the following other identifiers: |
| - ISIN | US090043AC48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6QR27 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4915000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5282936.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6700666758 |
| 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. | 2027-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | BILL.COM HOLDINGS INC | BILL.COM HOLDINGS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 090043100 | ||
| ISIN (if CUSIP is not available) | US0900431000 | ||
| Ticker (if CUSIP and ISIN are not available) | BILL | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BKDS4H5 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.4108000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 3857948.820000000000 |
| Schedule of Portfolio Investments Record: 15 |
| a. Name of issuer (if any). | Weatherford International PLC |
| b. LEI (if any) of issuer. (1) | 529900LPBDSCQDJKHQ39 |
| c. Title of the issue or description of the investment. | WEATHERFORD INTERNATIONAL PL |
| d. CUSIP (if any). | G48833118 |
| At least one of the following other identifiers: |
| - ISIN | IE00BLNN3691 |
| - Ticker (if ISIN is not available). | WFRD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLNN369 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4325.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 125684.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0159413214 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 110166.460000000000 |
| Schedule of Portfolio Investments Record: 16 |
| a. Name of issuer (if any). | Energizer Holdings Inc |
| b. LEI (if any) of issuer. (1) | 5493000D6NN0V57UME20 |
| c. Title of the issue or description of the investment. | ENERGIZER HOLDINGS INC |
| d. CUSIP (if any). | 29272WAD1 |
| At least one of the following other identifiers: |
| - ISIN | US29272WAD11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD3QC3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 370000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 354859.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0450089783 |
| 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. | 2029-03-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 96177.400000000000 |
| Schedule of Portfolio Investments Record: 17 |
| a. Name of issuer (if any). | NeoGenomics Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEOGENOMICS INC |
| d. CUSIP (if any). | 64049MAB6 |
| At least one of the following other identifiers: |
| - ISIN | US64049MAB63 |
| - Ticker (if ISIN is not available). | NEO510 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRQHQ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9090360.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1529850578 |
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | NEOGENOMICS INC | NEOGENOMICS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 64049M209 | ||
| ISIN (if CUSIP is not available) | US64049M2098 | ||
| Ticker (if CUSIP and ISIN are not available) | NEO | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2598246 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 15.1172000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 1192651.960000000000 |
| Schedule of Portfolio Investments Record: 18 |
| a. Name of issuer (if any). | SEG Holding LLC / SEG Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SEG HLD LLC/SEG FIN CORP |
| d. CUSIP (if any). | 78397KAA0 |
| At least one of the following other identifiers: |
| - ISIN | US78397KAA07 |
| - Ticker (if ISIN is not available). | SEGH50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLPJ503 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 142735.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0181040023 |
| 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. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 142382.740000000000 |
| Schedule of Portfolio Investments Record: 19 |
| a. Name of issuer (if any). | Buckeye Partners LP |
| b. LEI (if any) of issuer. (1) | 549300C1PQJLVEIUBK50 |
| c. Title of the issue or description of the investment. | BUCKEYE PARTNERS LP |
| d. CUSIP (if any). | 118230AQ4 |
| At least one of the following other identifiers: |
| - ISIN | US118230AQ44 |
| - Ticker (if ISIN is not available). | BPL442 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ1JM93 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 215569.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0273419388 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.950 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 218811.000000000000 |
| Schedule of Portfolio Investments Record: 20 |
| a. Name of issuer (if any). | Air Transport Services Group Inc |
| b. LEI (if any) of issuer. (1) | 5493000F3MSFGIXTQE27 |
| c. Title of the issue or description of the investment. | AIR TRANSPORT SERVICES G |
| d. CUSIP (if any). | 00922RAB1 |
| At least one of the following other identifiers: |
| - ISIN | US00922RAB15 |
| - Ticker (if ISIN is not available). | CFTI47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD2PFM0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3729460.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4730298529 |
| 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. | 2024-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | AIR TRANSPORT SERVICES G | AIR TRANSPORT SERVICES G | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 00922R105 | ||
| ISIN (if CUSIP is not available) | US00922R1059 | ||
| Ticker (if CUSIP and ISIN are not available) | ATSG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2938002 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 31.3475000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 705643.970000000000 |
| Schedule of Portfolio Investments Record: 21 |
| a. Name of issuer (if any). | Burlington Stores Inc |
| b. LEI (if any) of issuer. (1) | 5299003Z37DVGKKC1W09 |
| c. Title of the issue or description of the investment. | BURLINGTON STORES INC |
| d. CUSIP (if any). | 122017AB2 |
| At least one of the following other identifiers: |
| - ISIN | US122017AB26 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGH6V1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7902785.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.0023577746 |
| 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. | 2025-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | BURLINGTON STORES INC | BURLINGTON STORES INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 122017106 | ||
| ISIN (if CUSIP is not available) | US1220171060 | ||
| Ticker (if CUSIP and ISIN are not available) | BURL | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BF311Y5 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 4.5418000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 7885872.500000000000 |
| Schedule of Portfolio Investments Record: 22 |
| a. Name of issuer (if any). | AES Corp/The |
| b. LEI (if any) of issuer. (1) | 2NUNNB7D43COUIRE5295 |
| c. Title of the issue or description of the investment. | AES CORP/THE |
| d. CUSIP (if any). | 00130H204 |
| At least one of the following other identifiers: |
| - ISIN | US00130H2040 |
| - Ticker (if ISIN is not available). | AESC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWFLV4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 123415.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12466149.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5811567087 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2024-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 860100.150000000000 |
| Schedule of Portfolio Investments Record: 23 |
| a. Name of issuer (if any). | Laredo Petroleum Inc |
| b. LEI (if any) of issuer. (1) | 549300X0PTWU2QSLSL14 |
| c. Title of the issue or description of the investment. | LAREDO PETROLEUM INC |
| d. CUSIP (if any). | 516806AH9 |
| At least one of the following other identifiers: |
| - ISIN | US516806AH93 |
| - Ticker (if ISIN is not available). | LPI522 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNTD61 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 67000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66426.4800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084252702 |
| 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. | 2029-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 67480.590000000000 |
| Schedule of Portfolio Investments Record: 24 |
| a. Name of issuer (if any). | Papa John's International Inc |
| b. LEI (if any) of issuer. (1) | HZYLD3DK5XOX0WBVNB56 |
| c. Title of the issue or description of the investment. | PAPA JOHN'S INTERNATIONA |
| d. CUSIP (if any). | 698813AA0 |
| At least one of the following other identifiers: |
| - ISIN | US698813AA06 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNDVLZ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 127396.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0161584139 |
| 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. | 2029-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 127704.590000000000 |
| Schedule of Portfolio Investments Record: 25 |
| a. Name of issuer (if any). | Catalent Pharma Solutions Inc |
| b. LEI (if any) of issuer. (1) | 549300HALRZ339MSTH85 |
| c. Title of the issue or description of the investment. | CATALENT PHARMA SOLUTION |
| d. CUSIP (if any). | 14879EAK4 |
| At least one of the following other identifiers: |
| - ISIN | US14879EAK47 |
| - Ticker (if ISIN is not available). | CTLT52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGC4S9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64564.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0081891040 |
| 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. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 64702.040000000000 |
| Schedule of Portfolio Investments Record: 26 |
| a. Name of issuer (if any). | Station Casinos LLC |
| b. LEI (if any) of issuer. (1) | 5493004E7Q60TX54WL62 |
| c. Title of the issue or description of the investment. | STATION CASINOS LLC |
| d. CUSIP (if any). | 857691AG4 |
| At least one of the following other identifiers: |
| - ISIN | US857691AG41 |
| - Ticker (if ISIN is not available). | RRR494 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHKD706 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 545000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 549905.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0697477601 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 226735.250000000000 |
| 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). | 071734AM9 |
| At least one of the following other identifiers: |
| - ISIN | US071734AM99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLH34G2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 118000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 108387.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0137474667 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 109477.680000000000 |
| Schedule of Portfolio Investments Record: 28 |
| a. Name of issuer (if any). | Goodyear Tire & Rubber Co/The |
| b. LEI (if any) of issuer. (1) | 5493002BI0S2ZQUY3437 |
| c. Title of the issue or description of the investment. | GOODYEAR TIRE & RUBBER |
| d. CUSIP (if any). | 382550BL4 |
| At least one of the following other identifiers: |
| - ISIN | US382550BL42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BND7X65 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 137225.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0174051232 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 140056.930000000000 |
| Schedule of Portfolio Investments Record: 29 |
| a. Name of issuer (if any). | United Rentals North America Inc |
| b. LEI (if any) of issuer. (1) | NGIZXNT70J2LYT3FBI09 |
| c. Title of the issue or description of the investment. | UNITED RENTALS NORTH AM |
| d. CUSIP (if any). | 911363AM1 |
| At least one of the following other identifiers: |
| - ISIN | US911363AM11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLFGYK7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66585.4200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084454295 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 62952.630000000000 |
| Schedule of Portfolio Investments Record: 30 |
| 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). | 63938CAL2 |
| At least one of the following other identifiers: |
| - ISIN | US63938CAL28 |
| - Ticker (if ISIN is not available). | SLM512 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVHFL9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 301572.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0382501914 |
| 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. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 135133.370000000000 |
| Schedule of Portfolio Investments Record: 31 |
| a. Name of issuer (if any). | Occidental Petroleum Corp |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | OCCIDENTAL PETROLEUM COR |
| d. CUSIP (if any). | 674599EB7 |
| At least one of the following other identifiers: |
| - ISIN | US674599EB77 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN15X83 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 144461.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0183228833 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 145530.450000000000 |
| Schedule of Portfolio Investments Record: 32 |
| a. Name of issuer (if any). | Okta Inc |
| b. LEI (if any) of issuer. (1) | 549300N8J06I8MRHU620 |
| c. Title of the issue or description of the investment. | OKTA INC |
| d. CUSIP (if any). | 679295AD7 |
| At least one of the following other identifiers: |
| - ISIN | US679295AD75 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0XWS1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9446580.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1981665839 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | OKTA INC | OKTA INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 679295105 | ||
| ISIN (if CUSIP is not available) | US6792951054 | ||
| Ticker (if CUSIP and ISIN are not available) | OKTA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BDFZSP1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 5.2991000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 9422146.490000000000 |
| Schedule of Portfolio Investments Record: 33 |
| a. Name of issuer (if any). | United Natural Foods Inc |
| b. LEI (if any) of issuer. (1) | 549300GKGW6WPZ282D40 |
| c. Title of the issue or description of the investment. | UNITED NATURAL FOODS INC |
| d. CUSIP (if any). | 911163AA1 |
| At least one of the following other identifiers: |
| - ISIN | US911163AA17 |
| - Ticker (if ISIN is not available). | UNFI50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV3XY6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 325215.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0412489754 |
| 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. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 325537.500000000000 |
| Schedule of Portfolio Investments Record: 34 |
| a. Name of issuer (if any). | Dell International LLC / EMC Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELL INT LLC / EMC CORP |
| d. CUSIP (if any). | 24703TAF3 |
| At least one of the following other identifiers: |
| - ISIN | US24703TAF30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL982B6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 215000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 261523.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0331706436 |
| 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. | 6.100 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 264932.030000000000 |
| Schedule of Portfolio Investments Record: 35 |
| a. Name of issuer (if any). | Airbnb Inc |
| b. LEI (if any) of issuer. (1) | 549300HMUDNO0RY56D37 |
| c. Title of the issue or description of the investment. | AIRBNB INC |
| d. CUSIP (if any). | 009066AA9 |
| At least one of the following other identifiers: |
| - ISIN | US009066AA91 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV38B8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4917250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6236844058 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | AIRBNB INC | AIRBNB INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 009066101 | ||
| ISIN (if CUSIP is not available) | US0090661010 | ||
| Ticker (if CUSIP and ISIN are not available) | ABNB | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BMGYYH4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.4645000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 97901.000000000000 |
| Schedule of Portfolio Investments Record: 36 |
| a. Name of issuer (if any). | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MAGNOLIA OIL GAS/MAG FIN |
| d. CUSIP (if any). | 559665AA2 |
| At least one of the following other identifiers: |
| - ISIN | US559665AA25 |
| - Ticker (if ISIN is not available). | TPGE46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYVW0H9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 295000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 302947.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0384246290 |
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 307070.220000000000 |
| Schedule of Portfolio Investments Record: 37 |
| a. Name of issuer (if any). | Avis Budget Car Rental LLC / Avis Budget Finance Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AVIS BUDGET CAR/FINANCE |
| d. CUSIP (if any). | 053773BF3 |
| At least one of the following other identifiers: |
| - ISIN | US053773BF30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLKH0C9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 79000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 83479.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0105881819 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 83831.560000000000 |
| Schedule of Portfolio Investments Record: 38 |
| a. Name of issuer (if any). | Continental Resources Inc/OK |
| b. LEI (if any) of issuer. (1) | XXRTID9RYWOZ0UPIVR53 |
| c. Title of the issue or description of the investment. | CONTINENTAL RESOURCES |
| d. CUSIP (if any). | 212015AN1 |
| At least one of the following other identifiers: |
| - ISIN | US212015AN15 |
| - Ticker (if ISIN is not available). | CLR415 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ02873 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 283929.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0360124616 |
| 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. | 2024-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 287717.940000000000 |
| Schedule of Portfolio Investments Record: 39 |
| a. Name of issuer (if any). | Chevron Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CHEVRON CORP |
| d. CUSIP (if any). | 166764100 |
| At least one of the following other identifiers: |
| - ISIN | US1667641005 |
| - Ticker (if ISIN is not available). | CVX |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2838555 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 525.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 60107.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0076237642 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 60107.250000000000 |
| Schedule of Portfolio Investments Record: 40 |
| 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). | 530715AJ0 |
| At least one of the following other identifiers: |
| - ISIN | US530715AJ01 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2677327 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 265000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 289883.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0367676686 |
| 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. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 294193.990000000000 |
| Schedule of Portfolio Investments Record: 41 |
| 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 | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 133125.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168850702 |
| 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. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 133194.490000000000 |
| Schedule of Portfolio Investments Record: 42 |
| a. Name of issuer (if any). | Caesars Entertainment Inc |
| b. LEI (if any) of issuer. (1) | 549300FA4CTCW903Y781 |
| c. Title of the issue or description of the investment. | CAESARS ENTERTAIN INC |
| d. CUSIP (if any). | 28470RAK8 |
| At least one of the following other identifiers: |
| - ISIN | US28470RAK86 |
| - Ticker (if ISIN is not available). | ERI500 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLFBXK5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 148022.1600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0187745412 |
| 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. | 2027-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 151361.890000000000 |
| Schedule of Portfolio Investments Record: 43 |
| 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). | 25470XAY1 |
| At least one of the following other identifiers: |
| - ISIN | US25470XAY13 |
| - Ticker (if ISIN is not available). | DISH44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYVR0K7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 215000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 239692.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0304016738 |
| 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. | 2026-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 186410.920000000000 |
| Schedule of Portfolio Investments Record: 44 |
| a. Name of issuer (if any). | PPL Capital Funding Inc |
| b. LEI (if any) of issuer. (1) | 549300MROK5WY0D2NU17 |
| c. Title of the issue or description of the investment. | PPL CAPITAL FUNDING INC |
| d. CUSIP (if any). | 69352PAC7 |
| At least one of the following other identifiers: |
| - ISIN | US69352PAC77 |
| - Ticker (if ISIN is not available). | PPL.ID |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFPC5X3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 97000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 93170.4400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0118173675 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2067-03-30 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 2.797 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 93095.930000000000 |
| Schedule of Portfolio Investments Record: 45 |
| 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). | 25470XBB0 |
| At least one of the following other identifiers: |
| - ISIN | US25470XBB01 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKSBG51 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 168000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 176925.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0224405689 |
| 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. | 7.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 180671.050000000000 |
| Schedule of Portfolio Investments Record: 46 |
| a. Name of issuer (if any). | Mercer International Inc |
| b. LEI (if any) of issuer. (1) | 549300Z5IAG39VRTY874 |
| c. Title of the issue or description of the investment. | MERCER INTL INC |
| d. CUSIP (if any). | 588056BB6 |
| At least one of the following other identifiers: |
| - ISIN | US588056BB60 |
| - Ticker (if ISIN is not available). | MERC52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNTCJ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 276000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 274749.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0348481602 |
| 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. | 2029-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 82553.250000000000 |
| Schedule of Portfolio Investments Record: 47 |
| a. Name of issuer (if any). | American Axle & Manufacturing Inc |
| b. LEI (if any) of issuer. (1) | RY5TAKFOBLDUGX31MS24 |
| c. Title of the issue or description of the investment. | AMERICAN AXLE & MFG INC |
| d. CUSIP (if any). | 02406PBA7 |
| At least one of the following other identifiers: |
| - ISIN | US02406PBA75 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMQ52N9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 278000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 295405.5800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0374680672 |
| 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. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 301528.230000000000 |
| Schedule of Portfolio Investments Record: 48 |
| a. Name of issuer (if any). | Allegheny Technologies Inc |
| b. LEI (if any) of issuer. (1) | ZW1LRE7C3H17O2ZN9B45 |
| c. Title of the issue or description of the investment. | ALLEGHENY TECHNOLOGIES |
| d. CUSIP (if any). | 01741RAH5 |
| At least one of the following other identifiers: |
| - ISIN | US01741RAH57 |
| - Ticker (if ISIN is not available). | ATI491 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJDRSJ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 147000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 154535.2200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0196006318 |
| 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. | 2027-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 157900.330000000000 |
| Schedule of Portfolio Investments Record: 49 |
| a. Name of issuer (if any). | Dexcom Inc |
| b. LEI (if any) of issuer. (1) | 549300YSK3QDSFR5EU59 |
| c. Title of the issue or description of the investment. | DEXCOM INC |
| d. CUSIP (if any). | 252131AK3 |
| At least one of the following other identifiers: |
| - ISIN | US252131AK39 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVVGF9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 15693230.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.9904667910 |
| 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. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | DEXCOM INC | DEXCOM INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 252131107 | ||
| ISIN (if CUSIP is not available) | US2521311074 | ||
| Ticker (if CUSIP and ISIN are not available) | DXCM | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B0796X4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 1.6655000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 15651677.950000000000 |
| Schedule of Portfolio Investments Record: 50 |
| a. Name of issuer (if any). | First Quantum Minerals Ltd |
| b. LEI (if any) of issuer. (1) | 549300I7UVBGWRYMYZ18 |
| c. Title of the issue or description of the investment. | FIRST QUANTUM MINERALS L |
| d. CUSIP (if any). | 335934AK1 |
| At least one of the following other identifiers: |
| - ISIN | US335934AK15 |
| - Ticker (if ISIN is not available). | FQVLF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF37080 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 275000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 279996.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0355136726 |
| 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. | 2023-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 157764.180000000000 |
| Schedule of Portfolio Investments Record: 51 |
| a. Name of issuer (if any). | Square Inc |
| b. LEI (if any) of issuer. (1) | 549300OHIIUWSTIZME52 |
| c. Title of the issue or description of the investment. | SQUARE INC |
| d. CUSIP (if any). | 852234AH6 |
| At least one of the following other identifiers: |
| - ISIN | US852234AH60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0T148 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9785200.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.2411157960 |
| 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. | 2027-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SQUARE INC | SQUARE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 852234103 | ||
| ISIN (if CUSIP is not available) | US8522341036 | ||
| Ticker (if CUSIP and ISIN are not available) | SQ | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BYNZGK1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.3430000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 8153680.370000000000 |
| Schedule of Portfolio Investments Record: 52 |
| a. Name of issuer (if any). | Stanley Black & Decker Inc |
| b. LEI (if any) of issuer. (1) | 549300DJ09SMTO561131 |
| c. Title of the issue or description of the investment. | STANLEY BLACK & DECKER INC |
| d. CUSIP (if any). | 854502846 |
| At least one of the following other identifiers: |
| - ISIN | US8545028461 |
| - Ticker (if ISIN is not available). | SWT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BH07MK3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65335.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7050953.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8943148217 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2022-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 7050953.200000000000 |
| Schedule of Portfolio Investments Record: 53 |
| a. Name of issuer (if any). | Golden Nugget Inc |
| b. LEI (if any) of issuer. (1) | 91D14OD6M4H1RVBN7R43 |
| c. Title of the issue or description of the investment. | GOLDEN NUGGET INC |
| d. CUSIP (if any). | 38113YAC3 |
| At least one of the following other identifiers: |
| - ISIN | US38113YAC30 |
| - Ticker (if ISIN is not available). | LNY454 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYWFXH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 145283.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0184271932 |
| 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. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 146202.690000000000 |
| Schedule of Portfolio Investments Record: 54 |
| a. Name of issuer (if any). | JetBlue Airways Corp |
| b. LEI (if any) of issuer. (1) | 54930070J9H97ZO93T57 |
| c. Title of the issue or description of the investment. | JETBLUE AIRWAYS CORP |
| d. CUSIP (if any). | 477143AN1 |
| At least one of the following other identifiers: |
| - ISIN | US477143AN19 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW2F80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9431857.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1962992406 |
| 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. | 2026-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | JETBLUE AIRWAYS CORP | JETBLUE AIRWAYS CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 477143101 | ||
| ISIN (if CUSIP is not available) | US4771431016 | ||
| Ticker (if CUSIP and ISIN are not available) | JBLU | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2852760 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 38.5802000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 8201671.080000000000 |
| Schedule of Portfolio Investments Record: 55 |
| a. Name of issuer (if any). | Match Group Financeco 3 Inc |
| b. LEI (if any) of issuer. (1) | 5493003IEL8HSZKWUI17 |
| c. Title of the issue or description of the investment. | MATCH GROUP FINANCECO 3 |
| d. CUSIP (if any). | 44932KAA4 |
| At least one of the following other identifiers: |
| - ISIN | US44932KAA43 |
| - Ticker (if ISIN is not available). | IACF48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK77MH4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8816400.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1182370625 |
| 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. | 2.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | MATCH GROUP FINANCECO 3 | MATCH GROUP FINANCECO 3 | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 57667L107 | ||
| ISIN (if CUSIP is not available) | US57667L1070 | ||
| Ticker (if CUSIP and ISIN are not available) | MTCH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BK80XH9 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 11.8739000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 8834746.500000000000 |
| Schedule of Portfolio Investments Record: 56 |
| a. Name of issuer (if any). | Gulfport Energy Operating Corp |
| b. LEI (if any) of issuer. (1) | 549300FJX18IDUFPHD40 |
| c. Title of the issue or description of the investment. | GULFPORT ENERGY OP CORP |
| d. CUSIP (if any). | 402635AQ9 |
| At least one of the following other identifiers: |
| - ISIN | US402635AQ92 |
| - Ticker (if ISIN is not available). | GPOR51 |
| Balance. (2) |
| a. Balance | 76078.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 84302.0300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0106925337 |
| 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. | 2026-05-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 86906.000000000000 |
| Schedule of Portfolio Investments Record: 57 |
| a. Name of issuer (if any). | Endure Digital Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ENDURE DIGITAL INC |
| d. CUSIP (if any). | 29279XAA8 |
| At least one of the following other identifiers: |
| - ISIN | US29279XAA81 |
| - Ticker (if ISIN is not available). | ENDGT5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFZ7B3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 261000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 241351.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0306121163 |
| 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. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 182737.260000000000 |
| Schedule of Portfolio Investments Record: 58 |
| a. Name of issuer (if any). | Targa Resources Corp |
| b. LEI (if any) of issuer. (1) | 5493003QENHHS261UR94 |
| c. Title of the issue or description of the investment. | TARGA RESOURCES CORP |
| d. CUSIP (if any). | 87612G101 |
| At least one of the following other identifiers: |
| - ISIN | US87612G1013 |
| - Ticker (if ISIN is not available). | TRGP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B55PZY3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1325.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 72437.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0091877157 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 72437.750000000000 |
| Schedule of Portfolio Investments Record: 59 |
| a. Name of issuer (if any). | Wix.com Ltd |
| b. LEI (if any) of issuer. (1) | 5493008P6N29Q1AG9464 |
| c. Title of the issue or description of the investment. | WIX LTD |
| d. CUSIP (if any). | 92940WAD1 |
| At least one of the following other identifiers: |
| - ISIN | US92940WAD11 |
| - Ticker (if ISIN is not available). | WIX524 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFK2D5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6631800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8411510992 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ISRAEL
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | WIX LTD | WIX LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | IL0011301780 | ||
| Ticker (if CUSIP and ISIN are not available) | WIX | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BFZCHN7 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.4813000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 4031272.320000000000 |
| Schedule of Portfolio Investments Record: 60 |
| a. Name of issuer (if any). | WESCO Distribution Inc |
| b. LEI (if any) of issuer. (1) | 549300I2CEZJG9N4AH67 |
| c. Title of the issue or description of the investment. | WESCO DISTRIBUTION INC |
| d. CUSIP (if any). | 95081QAN4 |
| At least one of the following other identifiers: |
| - ISIN | US95081QAN43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYMZS8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 137000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 145862.5300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0185006224 |
| 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. | 7.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 148853.240000000000 |
| Schedule of Portfolio Investments Record: 61 |
| a. Name of issuer (if any). | MPH Acquisition Holdings LLC |
| b. LEI (if any) of issuer. (1) | 5493002WXOPRPTXWTU06 |
| c. Title of the issue or description of the investment. | MPH ACQUISITION HOLDINGS |
| d. CUSIP (if any). | 553283AC6 |
| At least one of the following other identifiers: |
| - ISIN | US553283AC69 |
| - Ticker (if ISIN is not available). | MPLN50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2B8J6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 274038.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0347578885 |
| 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. | 2028-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 281154.000000000000 |
| Schedule of Portfolio Investments Record: 62 |
| a. Name of issuer (if any). | Etsy Inc |
| b. LEI (if any) of issuer. (1) | 54930089Q7XT501AEA40 |
| c. Title of the issue or description of the investment. | ETSY INC |
| d. CUSIP (if any). | 29786AAL0 |
| At least one of the following other identifiers: |
| - ISIN | US29786AAL08 |
| - Ticker (if ISIN is not available). | ETSY52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTPP60 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 16671375.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.1145308071 |
| 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. | 2027-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | ETSY INC | ETSY INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 29786A106 | ||
| ISIN (if CUSIP is not available) | US29786A1060 | ||
| Ticker (if CUSIP and ISIN are not available) | ETSY | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BWTN5N1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 5.0007000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 2089164.300000000000 |
| Schedule of Portfolio Investments Record: 63 |
| a. Name of issuer (if any). | Allison Transmission Inc |
| b. LEI (if any) of issuer. (1) | MWKQ3I0U1GXP2YDSZW75 |
| c. Title of the issue or description of the investment. | ALLISON TRANSMISSION INC |
| d. CUSIP (if any). | 019736AG2 |
| At least one of the following other identifiers: |
| - ISIN | US019736AG29 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMX50K5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 70000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 67348.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0085422028 |
| 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. | 2031-01-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 67936.400000000000 |
| Schedule of Portfolio Investments Record: 64 |
| a. Name of issuer (if any). | MetLife Inc |
| b. LEI (if any) of issuer. (1) | C4BXATY60WC6XEOZDX54 |
| c. Title of the issue or description of the investment. | METLIFE INC |
| d. CUSIP (if any). | 59156RAP3 |
| At least one of the following other identifiers: |
| - ISIN | US59156RAP38 |
| - Ticker (if ISIN is not available). | MET.HW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1L8RP3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 585000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 742522.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0941786537 |
| 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. | 2066-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.400 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 759436.460000000000 |
| Schedule of Portfolio Investments Record: 65 |
| a. Name of issuer (if any). | Vector Group Ltd |
| b. LEI (if any) of issuer. (1) | 549300TUIF4WWN6NDN50 |
| c. Title of the issue or description of the investment. | VECTOR GROUP LTD |
| d. CUSIP (if any). | 92240MBJ6 |
| At least one of the following other identifiers: |
| - ISIN | US92240MBJ62 |
| - Ticker (if ISIN is not available). | VGR476 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGKX9B4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 164000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 173326.6800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0219840658 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 64248.680000000000 |
| Schedule of Portfolio Investments Record: 66 |
| a. Name of issuer (if any). | Netflix Inc |
| b. LEI (if any) of issuer. (1) | 549300Y7VHGU0I7CE873 |
| c. Title of the issue or description of the investment. | NETFLIX INC |
| d. CUSIP (if any). | 64110LAV8 |
| At least one of the following other identifiers: |
| - ISIN | US64110LAV80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKM1GZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 234788.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0297795748 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 238666.990000000000 |
| Schedule of Portfolio Investments Record: 67 |
| a. Name of issuer (if any). | Microchip Technology Inc |
| b. LEI (if any) of issuer. (1) | 5493007PTFULNYZJ1R12 |
| c. Title of the issue or description of the investment. | MICROCHIP TECHNOLOGY INC |
| d. CUSIP (if any). | 595017AU8 |
| At least one of the following other identifiers: |
| - ISIN | US595017AU87 |
| - Ticker (if ISIN is not available). | MCHP50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH2V21 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13094000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14671696.0600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.8608994946 |
| 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. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | MICROCHIP TECHNOLOGY INC | MICROCHIP TECHNOLOGY INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 595017104 | ||
| ISIN (if CUSIP is not available) | US5950171042 | ||
| Ticker (if CUSIP and ISIN are not available) | MCHP | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2592174 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 10.7126000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 14639995.430000000000 |
| Schedule of Portfolio Investments Record: 68 |
| a. Name of issuer (if any). | TTM Technologies Inc |
| b. LEI (if any) of issuer. (1) | 549300SC4BDOIS008048 |
| c. Title of the issue or description of the investment. | TTM TECHNOLOGIES INC |
| d. CUSIP (if any). | 87305RAK5 |
| At least one of the following other identifiers: |
| - ISIN | US87305RAK59 |
| - Ticker (if ISIN is not available). | TTMI51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZB142 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 297627.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0377498233 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 299626.200000000000 |
| Schedule of Portfolio Investments Record: 69 |
| a. Name of issuer (if any). | PHH Mortgage Corp |
| b. LEI (if any) of issuer. (1) | PAOOWF3GUFM46FBSP561 |
| c. Title of the issue or description of the investment. | PHH MORTGAGE CORP |
| d. CUSIP (if any). | 69356NAA2 |
| At least one of the following other identifiers: |
| - ISIN | US69356NAA28 |
| - Ticker (if ISIN is not available). | PHMC51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXDS05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 298000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 302800.7800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0384060450 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 304694.570000000000 |
| Schedule of Portfolio Investments Record: 70 |
| a. Name of issuer (if any). | ON Semiconductor Corp |
| b. LEI (if any) of issuer. (1) | ZV20P4CNJVT8V1ZGJ064 |
| c. Title of the issue or description of the investment. | ON SEMICONDUCTOR CORP |
| d. CUSIP (if any). | 682189AR6 |
| At least one of the following other identifiers: |
| - ISIN | US682189AR64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBVGC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11221267.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.4232608782 |
| 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. | 2027-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ON SEMICONDUCTOR CORP | ON SEMICONDUCTOR CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 682189105 | ||
| ISIN (if CUSIP is not available) | US6821891057 | ||
| Ticker (if CUSIP and ISIN are not available) | ON | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2583576 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 18.8796000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 10695708.100000000000 |
| Schedule of Portfolio Investments Record: 71 |
| a. Name of issuer (if any). | VICI Properties LP / VICI Note Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VICI PROPERTIES / NOTE |
| d. CUSIP (if any). | 92564RAD7 |
| At least one of the following other identifiers: |
| - ISIN | US92564RAD70 |
| - Ticker (if ISIN is not available). | VICI49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKMH5X6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 272000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 280130.0800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0355305837 |
| 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. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 60042.060000000000 |
| Schedule of Portfolio Investments Record: 72 |
| 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 |
| - Ticker (if ISIN is not available). | PKOH44 |
| - 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 | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 295479.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0374774556 |
| 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. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 14138.640000000000 |
| Schedule of Portfolio Investments Record: 73 |
| a. Name of issuer (if any). | Twilio Inc |
| b. LEI (if any) of issuer. (1) | 5493004W8TRGD63APX93 |
| c. Title of the issue or description of the investment. | TWILIO INC |
| d. CUSIP (if any). | 90138FAD4 |
| At least one of the following other identifiers: |
| - ISIN | US90138FAD42 |
| - Ticker (if ISIN is not available). | TWLO51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLH3WJ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66675.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084568980 |
| 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. | 2031-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 66958.050000000000 |
| Schedule of Portfolio Investments Record: 74 |
| a. Name of issuer (if any). | Audacy Capital Corp |
| b. LEI (if any) of issuer. (1) | 549300S5JUSXRHNCHD80 |
| c. Title of the issue or description of the investment. | ENTERCOM MEDIA CORP |
| d. CUSIP (if any). | 29365DAA7 |
| At least one of the following other identifiers: |
| - ISIN | US29365DAA72 |
| - Ticker (if ISIN is not available). | ETM482 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK97MV6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 136888.0800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0173623389 |
| 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. | 2027-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 140710.760000000000 |
| Schedule of Portfolio Investments Record: 75 |
| a. Name of issuer (if any). | Shopify Inc |
| b. LEI (if any) of issuer. (1) | 549300HGQ43STJLLP808 |
| c. Title of the issue or description of the investment. | SHOPIFY INC |
| d. CUSIP (if any). | 82509LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US82509LAA52 |
| - Ticker (if ISIN is not available). | SHOP50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBNL19 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1616000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2047197.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2596583495 |
| 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. | 2025-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | SHOPIFY INC | SHOPIFY INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 82509L107 | ||
| ISIN (if CUSIP is not available) | CA82509L1076 | ||
| Ticker (if CUSIP and ISIN are not available) | SHOP | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BXDZ9Z0 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 0.6944000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 2051298.680000000000 |
| Schedule of Portfolio Investments Record: 76 |
| a. Name of issuer (if any). | Bridgebio Pharma Inc |
| b. LEI (if any) of issuer. (1) | 54930028YG89VTY2J114 |
| c. Title of the issue or description of the investment. | BRIDGEBIO PHARMA INC |
| d. CUSIP (if any). | 10806XAB8 |
| At least one of the following other identifiers: |
| - ISIN | US10806XAB82 |
| - Ticker (if ISIN is not available). | BBIO51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTJ666 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2520927.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3197444039 |
| 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. | 2.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | BRIDGEBIO PHARMA INC | BRIDGEBIO PHARMA INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 10806X102 | ||
| ISIN (if CUSIP is not available) | US10806X1028 | ||
| Ticker (if CUSIP and ISIN are not available) | BBIO | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BK1KWG8 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 23.4151000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 2137792.500000000000 |
| Schedule of Portfolio Investments Record: 77 |
| a. Name of issuer (if any). | Cumulus Media New Holdings Inc |
| b. LEI (if any) of issuer. (1) | 5493001D9VBAVY1OKJ46 |
| c. Title of the issue or description of the investment. | CUMULUS MEDIA NEW HLDGS |
| d. CUSIP (if any). | 23110AAA4 |
| At least one of the following other identifiers: |
| - ISIN | US23110AAA43 |
| - Ticker (if ISIN is not available). | CUMU48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK6WVG2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 275000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 287130.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0364184573 |
| 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. | 2026-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 292084.370000000000 |
| Schedule of Portfolio Investments Record: 78 |
| a. Name of issuer (if any). | Kaiser Aluminum Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | KAISER ALUMINUM CORP |
| d. CUSIP (if any). | 483007AJ9 |
| At least one of the following other identifiers: |
| - ISIN | US483007AJ91 |
| - Ticker (if ISIN is not available). | KALU49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKQQ380 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 145000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 146465.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0185771578 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 111141.950000000000 |
| Schedule of Portfolio Investments Record: 79 |
| a. Name of issuer (if any). | Vail Resorts Inc |
| b. LEI (if any) of issuer. (1) | 529900PSZHRNU9HKH870 |
| c. Title of the issue or description of the investment. | VAIL RESORTS INC |
| d. CUSIP (if any). | 91879QAM1 |
| At least one of the following other identifiers: |
| - ISIN | US91879QAM15 |
| - Ticker (if ISIN is not available). | MTN509 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTS6M2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14564797.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.8473409070 |
| 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. | 2026-01-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | VAIL RESORTS INC | VAIL RESORTS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 91879Q109 | ||
| ISIN (if CUSIP is not available) | US91879Q1094 | ||
| Ticker (if CUSIP and ISIN are not available) | MTN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2954194 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.4560000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 14158639.000000000000 |
| Schedule of Portfolio Investments Record: 80 |
| a. Name of issuer (if any). | Cheniere Energy Partners LP |
| b. LEI (if any) of issuer. (1) | 5493005UEC8AZ34LDV29 |
| c. Title of the issue or description of the investment. | CHENIERE ENERGY PARTNERS |
| d. CUSIP (if any). | 16411QAH4 |
| At least one of the following other identifiers: |
| - ISIN | US16411QAH48 |
| - Ticker (if ISIN is not available). | BX5140 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK816T5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 63000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 65619.5400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0083229211 |
| 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. | 2031-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 65927.230000000000 |
| Schedule of Portfolio Investments Record: 81 |
| a. Name of issuer (if any). | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SIMMONS FOOD INC/SIMMONS |
| d. CUSIP (if any). | 82873MAA1 |
| At least one of the following other identifiers: |
| - ISIN | US82873MAA18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLKH085 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 308394.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0391155491 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 204507.650000000000 |
| Schedule of Portfolio Investments Record: 82 |
| a. Name of issuer (if any). | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALBERTSONS COS/SAFEWAY |
| d. CUSIP (if any). | 013092AG6 |
| At least one of the following other identifiers: |
| - ISIN | US013092AG61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPMPR2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 134191.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0170202774 |
| 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. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 134635.510000000000 |
| Schedule of Portfolio Investments Record: 83 |
| a. Name of issuer (if any). | Sirius XM Radio Inc |
| b. LEI (if any) of issuer. (1) | WP5O65E6BMU84LNO4227 |
| c. Title of the issue or description of the investment. | SIRIUS XM RADIO INC |
| d. CUSIP (if any). | 82967NBC1 |
| At least one of the following other identifiers: |
| - ISIN | US82967NBC11 |
| - Ticker (if ISIN is not available). | LMCA48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJYHK54 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 372555.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0472534114 |
| 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. | 2029-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 307097.560000000000 |
| Schedule of Portfolio Investments Record: 84 |
| a. Name of issuer (if any). | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALBERTSONS COS/SAFEWAY |
| d. CUSIP (if any). | 013092AE1 |
| At least one of the following other identifiers: |
| - ISIN | US013092AE14 |
| - Ticker (if ISIN is not available). | ABS493 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKMH644 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 337000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 361489.7900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0458499252 |
| 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. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 364590.190000000000 |
| Schedule of Portfolio Investments Record: 85 |
| a. Name of issuer (if any). | Credit Acceptance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CREDIT ACCEPTANC |
| d. CUSIP (if any). | 225310AM3 |
| At least one of the following other identifiers: |
| - ISIN | US225310AM36 |
| - Ticker (if ISIN is not available). | CACC49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLPMRV7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 365718.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0463862780 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 367271.440000000000 |
| Schedule of Portfolio Investments Record: 86 |
| a. Name of issuer (if any). | Life Time Inc |
| b. LEI (if any) of issuer. (1) | 549300PALKE96VYH4X17 |
| c. Title of the issue or description of the investment. | LIFE TIME INC |
| d. CUSIP (if any). | 53190FAC9 |
| At least one of the following other identifiers: |
| - ISIN | US53190FAC95 |
| - Ticker (if ISIN is not available). | LTM512 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGS0T0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 196000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 206046.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0261341758 |
| 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. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 195878.640000000000 |
| Schedule of Portfolio Investments Record: 87 |
| a. Name of issuer (if any). | Clearwater Paper Corp |
| b. LEI (if any) of issuer. (1) | 549300HCVV19GXN4P292 |
| c. Title of the issue or description of the investment. | CLEARWATER PAPER CORP |
| d. CUSIP (if any). | 18538RAJ2 |
| At least one of the following other identifiers: |
| - ISIN | US18538RAJ23 |
| - Ticker (if ISIN is not available). | CLW502 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6Q176 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 420000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 427715.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0542497179 |
| 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. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 296818.770000000000 |
| Schedule of Portfolio Investments Record: 88 |
| a. Name of issuer (if any). | KKR & Co Inc |
| b. LEI (if any) of issuer. (1) | 549300JOHU21WRN2Z451 |
| c. Title of the issue or description of the investment. | KKR & CO INC |
| d. CUSIP (if any). | 48251W401 |
| At least one of the following other identifiers: |
| - ISIN | US48251W4015 |
| - Ticker (if ISIN is not available). | KKRpC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH17T7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 73830.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7385953.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9368048875 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2023-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 7385953.200000000000 |
| Schedule of Portfolio Investments Record: 89 |
| a. Name of issuer (if any). | Booking Holdings Inc |
| b. LEI (if any) of issuer. (1) | FXM8FAOHMYDIPD38UZ17 |
| c. Title of the issue or description of the investment. | BOOKING HOLDINGS INC |
| d. CUSIP (if any). | 09857LAN8 |
| At least one of the following other identifiers: |
| - ISIN | US09857LAN82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV7LX3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11886560.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5076439292 |
| 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. | 0.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | BOOKING HOLDINGS INC | BOOKING HOLDINGS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 09857L108 | ||
| ISIN (if CUSIP is not available) | US09857L1089 | ||
| Ticker (if CUSIP and ISIN are not available) | BKNG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BDRXDB4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 0.5301000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 11897583.990000000000 |
| Schedule of Portfolio Investments Record: 90 |
| a. Name of issuer (if any). | American Airlines Group Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AMERICAN AIRLINES GROUP |
| d. CUSIP (if any). | 02376RAE2 |
| At least one of the following other identifiers: |
| - ISIN | US02376RAE27 |
| - Ticker (if ISIN is not available). | AAL495 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLBQF42 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 59413.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0075358224 |
| 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. | 2025-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 59726.600000000000 |
| Schedule of Portfolio Investments Record: 91 |
| a. Name of issuer (if any). | Vista Outdoor Inc |
| b. LEI (if any) of issuer. (1) | 549300QI2D33ESTJLN81 |
| c. Title of the issue or description of the investment. | VISTA OUTDOOR INC |
| d. CUSIP (if any). | 928377AC4 |
| At least one of the following other identifiers: |
| - ISIN | US928377AC45 |
| - Ticker (if ISIN is not available). | VSTO51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8SNW2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 300672.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0381360390 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 302025.000000000000 |
| Schedule of Portfolio Investments Record: 92 |
| a. Name of issuer (if any). | goeasy Ltd |
| b. LEI (if any) of issuer. (1) | 5493009DJVZG2P8YV435 |
| c. Title of the issue or description of the investment. | GOEASY LTD |
| d. CUSIP (if any). | 380355AF4 |
| At least one of the following other identifiers: |
| - ISIN | US380355AF42 |
| - Ticker (if ISIN is not available). | EHMEF5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDV348 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 241000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 248119.1400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0314704435 |
| 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. | 2026-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 251091.870000000000 |
| Schedule of Portfolio Investments Record: 93 |
| a. Name of issuer (if any). | Freeport-McMoRan Inc |
| b. LEI (if any) of issuer. (1) | 549300IRDTHJQ1PVET45 |
| c. Title of the issue or description of the investment. | FREEPORT-MCMORAN INC |
| d. CUSIP (if any). | 35671DBJ3 |
| At least one of the following other identifiers: |
| - ISIN | US35671DBJ37 |
| - Ticker (if ISIN is not available). | FCX418 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BSN4Q39 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 120000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 146661.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0186019732 |
| 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. | 2034-11-14 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.400 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 149562.000000000000 |
| Schedule of Portfolio Investments Record: 94 |
| a. Name of issuer (if any). | Genesis Energy LP / Genesis Energy Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GENESIS ENERGY LP/FIN |
| d. CUSIP (if any). | 37185LAK8 |
| At least one of the following other identifiers: |
| - ISIN | US37185LAK89 |
| - Ticker (if ISIN is not available). | GEL457 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ3ZWK0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 274000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 265755.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0337073489 |
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 272896.320000000000 |
| Schedule of Portfolio Investments Record: 95 |
| a. Name of issuer (if any). | Encompass Health Corp |
| b. LEI (if any) of issuer. (1) | 549300FVRPM9DRQZRG64 |
| c. Title of the issue or description of the investment. | ENCOMPASS HEALTH CORP |
| d. CUSIP (if any). | 29261AAB6 |
| At least one of the following other identifiers: |
| - ISIN | US29261AAB61 |
| - Ticker (if ISIN is not available). | EHC488 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK7CR30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 133968.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0169920817 |
| 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. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 134759.420000000000 |
| Schedule of Portfolio Investments Record: 96 |
| a. Name of issuer (if any). | Pioneer Natural Resources Co |
| b. LEI (if any) of issuer. (1) | FY8JBF7CCL2VE4F1B628 |
| c. Title of the issue or description of the investment. | PIONEER NATURAL RESOURCE |
| d. CUSIP (if any). | 723787AP2 |
| At least one of the following other identifiers: |
| - ISIN | US723787AP23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKS9F58 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11096812.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.4074755017 |
| 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. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | PIONEER NATURAL RESOURCE | PIONEER NATURAL RESOURCE | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 723787107 | ||
| ISIN (if CUSIP is not available) | US7237871071 | ||
| Ticker (if CUSIP and ISIN are not available) | PXD | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2690830 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 9.1098000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 4875500.850000000000 |
| Schedule of Portfolio Investments Record: 97 |
| a. Name of issuer (if any). | Ambience Merger Sub Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AMBIENCE MERGER |
| d. CUSIP (if any). | 04650YAB6 |
| At least one of the following other identifiers: |
| - ISIN | US04650YAB65 |
| - Ticker (if ISIN is not available). | HOME52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLR8VV1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 63750.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0080858874 |
| 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. | 7.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 64996.600000000000 |
| Schedule of Portfolio Investments Record: 98 |
| a. Name of issuer (if any). | Mattel Inc |
| b. LEI (if any) of issuer. (1) | 549300VELLG24KHTJ564 |
| c. Title of the issue or description of the investment. | MATTEL INC |
| d. CUSIP (if any). | 577081BF8 |
| At least one of the following other identifiers: |
| - ISIN | US577081BF84 |
| - Ticker (if ISIN is not available). | MAT514 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLGT513 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 33000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 34316.3700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0043525517 |
| 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. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 34376.620000000000 |
| Schedule of Portfolio Investments Record: 99 |
| a. Name of issuer (if any). | Square Inc |
| b. LEI (if any) of issuer. (1) | 549300OHIIUWSTIZME52 |
| c. Title of the issue or description of the investment. | SQUARE INC |
| d. CUSIP (if any). | 852234AG8 |
| At least one of the following other identifiers: |
| - ISIN | US852234AG87 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0T1G0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9449520.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1985394818 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SQUARE INC | SQUARE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 852234103 | ||
| ISIN (if CUSIP is not available) | US8522341036 | ||
| Ticker (if CUSIP and ISIN are not available) | SQ | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BYNZGK1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.3430000000 | 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 |
| i. If Yes, provide the value of the securities on loan. | 9366480.000000000000 |
| Schedule of Portfolio Investments Record: 100 |
| a. Name of issuer (if any). | Consolidated Communications Inc |
| b. LEI (if any) of issuer. (1) | 549300WW675Y48HDVX34 |
| c. Title of the issue or description of the investment. | CONSOLIDATED COMMUNICATI |
| d. CUSIP (if any). | 20903XAF0 |
| At least one of the following other identifiers: |
| - ISIN | US20903XAF06 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK811S9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 230000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245398.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0311253684 |
| 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. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 171191.200000000000 |
| Schedule of Portfolio Investments Record: 101 |
| a. Name of issuer (if any). | Post Holdings Inc |
| b. LEI (if any) of issuer. (1) | JM1I5YUAURL6DC8N1468 |
| c. Title of the issue or description of the investment. | POST HOLDINGS INC |
| d. CUSIP (if any). | 737446AQ7 |
| At least one of the following other identifiers: |
| - ISIN | US737446AQ74 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCF601 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 191000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 192337.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0243952591 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☒ Yes ☐ No |
| i. If Yes, provide the value of the securities on loan. | 192298.410000000000 |
| Schedule of Portfolio Investments Record: 102 |
| a. Name of issuer (if any). | KeHE Distributors LLC / KeHE Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | KEHE DISTRIBUTORS LLC/FI |
| d. CUSIP (if any). | 487526AB1 |
| At least one of the following other identifiers: |
| - ISIN | US487526AB19 |
| - Ticker (if ISIN is not available). | KEHE48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKSY9Z1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 127000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 137158.7300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0173966670 |
| 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. | 2026-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 103 |
| a. Name of issuer (if any). | Ken Garff Automotive LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | KEN GARFF AUTOMOTIVE LLC |
| d. CUSIP (if any). | 48850PAA2 |
| At least one of the following other identifiers: |
| - ISIN | US48850PAA21 |
| - Ticker (if ISIN is not available). | KNGRF5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLFDXG7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 308000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 312632.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0396530383 |
| 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. | 2028-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 104 |
| a. Name of issuer (if any). | ACCO Brands Corp |
| b. LEI (if any) of issuer. (1) | JCT8P4Y190IH4I1NX328 |
| c. Title of the issue or description of the investment. | ACCO BRANDS CORP |
| d. CUSIP (if any). | 00081TAK4 |
| At least one of the following other identifiers: |
| - ISIN | US00081TAK43 |
| - Ticker (if ISIN is not available). | ACCO51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTB3V6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 296982.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0376680141 |
| 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. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AG Issuer LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AG ISSUER LLC |
| d. CUSIP (if any). | 00119LAA9 |
| At least one of the following other identifiers: |
| - ISIN | US00119LAA98 |
| - Ticker (if ISIN is not available). | AGIU49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKY60D6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 281000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 293394.9100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0372130419 |
| 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. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Altice USA Inc |
| b. LEI (if any) of issuer. (1) | 54930064K3612MGCER95 |
| c. Title of the issue or description of the investment. | ALTICE USA INC- A |
| d. CUSIP (if any). | 02156K103 |
| At least one of the following other identifiers: |
| - ISIN | US02156K1034 |
| - Ticker (if ISIN is not available). | ATUS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDRY7P9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5620.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 91606.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0116189402 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 107 |
| a. Name of issuer (if any). | Avantor Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AVANTOR INC |
| d. CUSIP (if any). | 05352A209 |
| At least one of the following other identifiers: |
| - ISIN | US05352A2096 |
| - Ticker (if ISIN is not available). | AVTRpA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJXKL39 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100715.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12466502.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5812015516 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2022-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Kraft Heinz Foods Co |
| b. LEI (if any) of issuer. (1) | 5493003STKEZ2S0RNU91 |
| c. Title of the issue or description of the investment. | KRAFT HEINZ FOODS CO |
| d. CUSIP (if any). | 50077LAB2 |
| At least one of the following other identifiers: |
| - ISIN | US50077LAB27 |
| - Ticker (if ISIN is not available). | BRK438 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD7YG30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 410000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 479220.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0607823942 |
| 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. | 2046-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 109 |
| a. Name of issuer (if any). | Kraft Heinz Foods Co |
| b. LEI (if any) of issuer. (1) | 5493003STKEZ2S0RNU91 |
| c. Title of the issue or description of the investment. | KRAFT HEINZ FOODS CO |
| d. CUSIP (if any). | 50077LBC9 |
| At least one of the following other identifiers: |
| - ISIN | US50077LBC90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKZ75X3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 71683.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0090921029 |
| 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. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 110 |
| a. Name of issuer (if any). | APi Escrow Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | API ESCROW CORP |
| d. CUSIP (if any). | 00185PAA9 |
| At least one of the following other identifiers: |
| - ISIN | US00185PAA93 |
| - Ticker (if ISIN is not available). | APGD52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP5F651 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 133049.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168755067 |
| 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. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ARD Finance SA |
| b. LEI (if any) of issuer. (1) | 6354006P6QPGGPVJW880 |
| c. Title of the issue or description of the investment. | ARD FINANCE SA |
| d. CUSIP (if any). | 00191AAD8 |
| At least one of the following other identifiers: |
| - ISIN | US00191AAD81 |
| - Ticker (if ISIN is not available). | AADH49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK9PBG8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 700000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 733950.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0930912949 |
| 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. | 2027-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | B Riley Financial Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | B RILEY FINANCIAL INC |
| d. CUSIP (if any). | 05580M819 |
| At least one of the following other identifiers: |
| - ISIN | US05580M8192 |
| - Ticker (if ISIN is not available). | RILY52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCHWS4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5319.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 132868.6200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168525266 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bank of America Corp |
| b. LEI (if any) of issuer. (1) | 9DJT3UXIJIZJI4WXO774 |
| c. Title of the issue or description of the investment. | BANK OF AMERICA CORP |
| d. CUSIP (if any). | 060505682 |
| At least one of the following other identifiers: |
| - ISIN | US0605056821 |
| - Ticker (if ISIN is not available). | BACpL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B2PB3Z7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5728880.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7266283225 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2049-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Kraft Heinz Foods Co |
| b. LEI (if any) of issuer. (1) | 5493003STKEZ2S0RNU91 |
| c. Title of the issue or description of the investment. | KRAFT HEINZ FOODS CO |
| d. CUSIP (if any). | 50077LBF2 |
| At least one of the following other identifiers: |
| - ISIN | US50077LBF22 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG49T8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 74460.5400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0094442783 |
| 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. | 2031-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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). | 501797AL8 |
| At least one of the following other identifiers: |
| - ISIN | US501797AL82 |
| - Ticker (if ISIN is not available). | LTD434 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD218S5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 196000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 238477.1200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0302474881 |
| 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. | 2035-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 116 |
| 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). | 501797AQ7 |
| At least one of the following other identifiers: |
| - ISIN | US501797AQ79 |
| - Ticker (if ISIN is not available). | LTD476 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGSDJM7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 355000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 407614.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0517002061 |
| 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. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.694 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LCI Industries |
| b. LEI (if any) of issuer. (1) | 549300E1B98YNJ1WIQ04 |
| c. Title of the issue or description of the investment. | LCI INDUSTRIES |
| d. CUSIP (if any). | 501812AA9 |
| At least one of the following other identifiers: |
| - ISIN | US501812AA94 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNXM177 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4994245.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6334501450 |
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | LCI INDUSTRIES | LCI INDUSTRIES | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 50189K103 | ||
| ISIN (if CUSIP is not available) | US50189K1034 | ||
| Ticker (if CUSIP and ISIN are not available) | LCII | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BYQ44Y5 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 6.0494000000 | 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: 118 |
| a. Name of issuer (if any). | Boston Scientific Corp |
| b. LEI (if any) of issuer. (1) | Y6ZDD9FP4P8JSSJMW954 |
| c. Title of the issue or description of the investment. | BOSTON SCIENTIFIC CORP |
| d. CUSIP (if any). | 101137206 |
| At least one of the following other identifiers: |
| - ISIN | US1011372067 |
| - Ticker (if ISIN is not available). | BSXpA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH5QL4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 62325.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7294518.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9252076109 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Broadcom Inc |
| b. LEI (if any) of issuer. (1) | 549300WV6GIDOZJTV909 |
| c. Title of the issue or description of the investment. | BROADCOM INC |
| d. CUSIP (if any). | 11135F200 |
| At least one of the following other identifiers: |
| - ISIN | US11135F2002 |
| - Ticker (if ISIN is not available). | AVGOP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKTDW14 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13625.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 22853757.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.8986795806 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2022-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LCPR Senior Secured Financing DAC |
| b. LEI (if any) of issuer. (1) | 549300LE5FM8IKMXSP90 |
| c. Title of the issue or description of the investment. | LCPR SR SECURED FIN DAC |
| d. CUSIP (if any). | 50201DAA1 |
| At least one of the following other identifiers: |
| - ISIN | US50201DAA19 |
| - Ticker (if ISIN is not available). | LCPS49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKM1HF4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 422476.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0535851732 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LPL Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300Z5YF8CCRMYUL26 |
| c. Title of the issue or description of the investment. | LPL HOLDINGS INC |
| d. CUSIP (if any). | 50212YAD6 |
| At least one of the following other identifiers: |
| - ISIN | US50212YAD67 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW6PS2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 335000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 342912.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0434936811 |
| 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. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Calfrac Well Services Ltd |
| b. LEI (if any) of issuer. (1) | 54930072S07WJGD7TA28 |
| c. Title of the issue or description of the investment. | CALFRAC WELL SERVICES LTD |
| d. CUSIP (if any). | 129584405 |
| At least one of the following other identifiers: |
| - ISIN | CA1295844056 |
| - Ticker (if ISIN is not available). | CFWFF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNLXSS2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11334.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 56556.6600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0071734215 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| 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 |
| 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: 123 |
| a. Name of issuer (if any). | Chesapeake Energy Corp |
| b. LEI (if any) of issuer. (1) | X2MT1W32SPAZ9WSKLE78 |
| c. Title of the issue or description of the investment. | CHESAPEAKE ENERGY CORP |
| d. CUSIP (if any). | 165167164 |
| At least one of the following other identifiers: |
| - ISIN | US1651671646 |
| - Ticker (if ISIN is not available). | CHKEW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVX763 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 810.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 31039.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0039368885 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | CHESAPEAKE ENERGY CORP | X2MT1W32SPAZ9WSKLE78 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | CHESAPEAKE ENERGY CORP |
| Title of issue. | CHESAPEAKE ENERGY CORP |
| At least one of the following other identifiers: |
| - CUSIP. | 165167743 |
| - ISIN (if CUSIP is not available). | US1651677437 |
| - Ticker (if CUSIP and ISIN are not available). | CHKAQ |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BLK8HG5 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 810 |
| v. Exercise price or rate. | 27.269000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2026-02-09 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -54317.1300000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Chesapeake Energy Corp |
| b. LEI (if any) of issuer. (1) | X2MT1W32SPAZ9WSKLE78 |
| c. Title of the issue or description of the investment. | CHESAPEAKE ENERGY CORP |
| d. CUSIP (if any). | 165167172 |
| At least one of the following other identifiers: |
| - ISIN | US1651671729 |
| - Ticker (if ISIN is not available). | CHKEZ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVX774 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 900.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 30060.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0038126907 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | CHESAPEAKE ENERGY CORP | X2MT1W32SPAZ9WSKLE78 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | CHESAPEAKE ENERGY CORP |
| Title of issue. | CHESAPEAKE ENERGY CORP |
| At least one of the following other identifiers: |
| - CUSIP. | 165167743 |
| - ISIN (if CUSIP is not available). | US1651677437 |
| - Ticker (if CUSIP and ISIN are not available). | CHKAQ |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BLK8HG5 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 900 |
| v. Exercise price or rate. | 31.711000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2026-02-09 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -61267.6900000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Chesapeake Energy Corp |
| b. LEI (if any) of issuer. (1) | X2MT1W32SPAZ9WSKLE78 |
| c. Title of the issue or description of the investment. | CHESAPEAKE ENERGY CORP |
| d. CUSIP (if any). | 165167180 |
| At least one of the following other identifiers: |
| - ISIN | US1651671802 |
| - Ticker (if ISIN is not available). | CHKEL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZ5M07 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 15285.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0019386885 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | CHESAPEAKE ENERGY CORP | X2MT1W32SPAZ9WSKLE78 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | CHESAPEAKE ENERGY CORP |
| Title of issue. | CHESAPEAKE ENERGY CORP |
| At least one of the following other identifiers: |
| - CUSIP. | 165167743 |
| - ISIN (if CUSIP is not available). | US1651677437 |
| - Ticker (if CUSIP and ISIN are not available). | CHKAQ |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BLK8HG5 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 500 |
| v. Exercise price or rate. | 35.708000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2026-02-09 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -24212.3300000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LSF11 A5 HoldCo LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LSF11 A5 HOLDCO LLC |
| d. CUSIP (if any). | 50216YAB6 |
| At least one of the following other identifiers: |
| - ISIN | US50216YAB65 |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 135027.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0171262869 |
| 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. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Life Time Inc |
| b. LEI (if any) of issuer. (1) | 549300PALKE96VYH4X17 |
| c. Title of the issue or description of the investment. | LIFE TIME INC |
| d. CUSIP (if any). | 50218KAG3 |
| At least one of the following other identifiers: |
| - ISIN | US50218KAG31 |
| Balance. (2) |
| a. Balance | 88525.7400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 89402.1400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0113394114 |
| 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. | 2024-12-16 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Chesapeake Energy Corp |
| b. LEI (if any) of issuer. (1) | X2MT1W32SPAZ9WSKLE78 |
| c. Title of the issue or description of the investment. | CHESAPEAKE ENERGY CORP |
| d. CUSIP (if any). | 165167735 |
| At least one of the following other identifiers: |
| - ISIN | US1651677353 |
| - Ticker (if ISIN is not available). | CHK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZ5LZ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 795.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 50673.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0064271996 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 129 |
| a. Name of issuer (if any). | Cumulus Media Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CUMULUS MEDIA INC-CL A |
| d. CUSIP (if any). | 231082801 |
| At least one of the following other identifiers: |
| - ISIN | US2310828015 |
| - Ticker (if ISIN is not available). | CMLS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGC2LM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2120.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 26330.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0033396431 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 130 |
| a. Name of issuer (if any). | LSF11 A5 HoldCo LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LSF11 A5 HOLDCO LLC |
| d. CUSIP (if any). | 50221DAA7 |
| At least one of the following other identifiers: |
| - ISIN | US50221DAA72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXD850 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130317.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0165289146 |
| 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. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 131 |
| a. Name of issuer (if any). | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LADDER CAP FIN LLLP/CORP |
| d. CUSIP (if any). | 505742AG1 |
| At least one of the following other identifiers: |
| - ISIN | US505742AG11 |
| - Ticker (if ISIN is not available). | LADP45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0WZ72 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 522000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 529245.3600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0671273736 |
| 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. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Danaher Corp |
| b. LEI (if any) of issuer. (1) | S4BKK9OTCEWQ3YHPFM11 |
| c. Title of the issue or description of the investment. | DANAHER CORP |
| d. CUSIP (if any). | 235851300 |
| At least one of the following other identifiers: |
| - ISIN | US2358513008 |
| - Ticker (if ISIN is not available). | DHRpA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJRJK13 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8080.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 16848820.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.1370372242 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2022-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Denbury Inc |
| b. LEI (if any) of issuer. (1) | 549300KCWA5W52MS5559 |
| c. Title of the issue or description of the investment. | DENBURY INC |
| d. CUSIP (if any). | 24790A101 |
| At least one of the following other identifiers: |
| - ISIN | US24790A1016 |
| - Ticker (if ISIN is not available). | DEN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZQZL2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 538.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 45547.0800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0057770102 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 134 |
| a. Name of issuer (if any). | Denbury Inc |
| b. LEI (if any) of issuer. (1) | 549300KCWA5W52MS5559 |
| c. Title of the issue or description of the investment. | DENBURY INC |
| d. CUSIP (if any). | 24790A119 |
| At least one of the following other identifiers: |
| - ISIN | US24790A1198 |
| - Ticker (if ISIN is not available). | DNRWW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBQMR1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1399.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 73433.5100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0093140139 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | DENBURY INC | 549300KCWA5W52MS5559 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | DENBURY INC |
| Title of issue. | DENBURY INC |
| At least one of the following other identifiers: |
| - CUSIP. | 24790A101 |
| - ISIN (if CUSIP is not available). | US24790A1016 |
| - Ticker (if CUSIP and ISIN are not available). | DEN |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BMZQZL2 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 1399 |
| v. Exercise price or rate. | 32.590000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2025-09-18 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 73433.5100000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Denbury Inc |
| b. LEI (if any) of issuer. (1) | 549300KCWA5W52MS5559 |
| c. Title of the issue or description of the investment. | DENBURY INC |
| d. CUSIP (if any). | 24790A127 |
| At least one of the following other identifiers: |
| - ISIN | US24790A1271 |
| - Ticker (if ISIN is not available). | DNRRW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN490D6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 515.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 25724.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0032627614 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | DENBURY INC | 549300KCWA5W52MS5559 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | DENBURY INC |
| Title of issue. | DENBURY INC |
| At least one of the following other identifiers: |
| - CUSIP. | 24790A101 |
| - ISIN (if CUSIP is not available). | US24790A1016 |
| - Ticker (if CUSIP and ISIN are not available). | DEN |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BMZQZL2 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 515 |
| v. Exercise price or rate. | 35.410000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2023-09-18 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -51234.4900000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Diamond Offshore Drilling Inc |
| b. LEI (if any) of issuer. (1) | F14FQJ2EEHW5VPYUHL14 |
| c. Title of the issue or description of the investment. | DIAMOND OFFSHORE DRILLING IN |
| d. CUSIP (if any). | 25271C201 |
| At least one of the following other identifiers: |
| - ISIN | US25271C2017 |
| Balance. (2) |
| a. Balance | 6116.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 34402.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0043634761 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 137 |
| a. Name of issuer (if any). | Dominion Energy Inc |
| b. LEI (if any) of issuer. (1) | ILUL7B6Z54MRYCF6H308 |
| c. Title of the issue or description of the investment. | DOMINION ENERGY INC |
| d. CUSIP (if any). | 25746U133 |
| At least one of the following other identifiers: |
| - ISIN | US25746U1337 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJCXSC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 60770.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6087330.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7720928071 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2022-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EP Energy Corp |
| b. LEI (if any) of issuer. (1) | 549300Z6HPQS1H5IYQ07 |
| c. Title of the issue or description of the investment. | EP ENERGY CORP |
| d. CUSIP (if any). | 268785201 |
| At least one of the following other identifiers: |
| - ISIN | US2687852010 |
| - Ticker (if ISIN is not available). | EPEC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF7DC2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1881.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 168349.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0213527801 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 139 |
| 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). | 29273V100 |
| At least one of the following other identifiers: |
| - ISIN | US29273V1008 |
| - Ticker (if ISIN is not available). | ET |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B0WHXD2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11685.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 111124.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0140945700 |
| 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 |
| 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: 140 |
| a. Name of issuer (if any). | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LADDER CAP FIN LLLP/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 | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131250.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0166473034 |
| 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. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Laredo Petroleum Inc |
| b. LEI (if any) of issuer. (1) | 549300X0PTWU2QSLSL14 |
| c. Title of the issue or description of the investment. | LAREDO PETROLEUM INC |
| d. CUSIP (if any). | 516806AG1 |
| At least one of the following other identifiers: |
| - ISIN | US516806AG11 |
| - Ticker (if ISIN is not available). | LPI493 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL71K13 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 230000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 246456.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0312595609 |
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 142 |
| 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). | 521088AC8 |
| At least one of the following other identifiers: |
| - ISIN | US521088AC89 |
| - Ticker (if ISIN is not available). | LDHL51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWX2T3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 312000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 286263.1200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0363084740 |
| 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. | 2028-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 143 |
| a. Name of issuer (if any). | Level 3 Financing Inc |
| b. LEI (if any) of issuer. (1) | 254900AE5FEFIJOXWL19 |
| c. Title of the issue or description of the investment. | LEVEL 3 FINANCING INC |
| d. CUSIP (if any). | 527298BH5 |
| At least one of the following other identifiers: |
| - ISIN | US527298BH52 |
| - Ticker (if ISIN is not available). | CTL432 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD97F41 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 276334.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0350491294 |
| 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. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 144 |
| a. Name of issuer (if any). | Enterprise Products Partners LP |
| b. LEI (if any) of issuer. (1) | K4CDIF4M54DJZ6TB4Q48 |
| c. Title of the issue or description of the investment. | ENTERPRISE PRODUCTS PARTNERS |
| d. CUSIP (if any). | 293792107 |
| At least one of the following other identifiers: |
| - ISIN | US2937921078 |
| - Ticker (if ISIN is not available). | EPD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2285388 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11035.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 250273.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0317437320 |
| 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 |
| 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: 145 |
| a. Name of issuer (if any). | Gulfport Energy Operating Corp |
| b. LEI (if any) of issuer. (1) | 549300FJX18IDUFPHD40 |
| c. Title of the issue or description of the investment. | GULFPORT ENERGY OP CORP |
| d. CUSIP (if any). | 402635601 |
| At least one of the following other identifiers: |
| - ISIN | US4026356018 |
| Balance. (2) |
| a. Balance | 7.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 41825.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0053049164 |
| 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. | 2026-05-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Level 3 Financing Inc |
| b. LEI (if any) of issuer. (1) | 254900AE5FEFIJOXWL19 |
| c. Title of the issue or description of the investment. | LEVEL 3 FINANCING INC |
| d. CUSIP (if any). | 527298BR3 |
| At least one of the following other identifiers: |
| - ISIN | US527298BR35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTR5N3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 280000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 277480.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0351944581 |
| 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. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| - Ticker (if ISIN is not available). | QRTEA3 |
| - 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 | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 145535.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0184590798 |
| 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. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Magellan Midstream Partners LP |
| b. LEI (if any) of issuer. (1) | MZF5TI8NFVZZNUSKDL39 |
| c. Title of the issue or description of the investment. | MAGELLAN MIDSTREAM PARTNERS |
| d. CUSIP (if any). | 559080106 |
| At least one of the following other identifiers: |
| - ISIN | US5590801065 |
| - Ticker (if ISIN is not available). | MMP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2723037 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3560.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 174440.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0221252748 |
| 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 |
| 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: 149 |
| a. Name of issuer (if any). | NextEra Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEXTERA ENERGY INC (NXEGU) |
| d. CUSIP (if any). | 65339F739 |
| At least one of the following other identifiers: |
| - ISIN | US65339F7399 |
| - Ticker (if ISIN is not available). | NEEpQ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGX880 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 153825.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8429610.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.0691781594 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2023-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.219 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Liberty Media Corp |
| b. LEI (if any) of issuer. (1) | 549300ZKUTPIBZLWLL89 |
| c. Title of the issue or description of the investment. | LIBERTY MEDIA CORP |
| d. CUSIP (if any). | 531229AB8 |
| At least one of the following other identifiers: |
| - ISIN | US531229AB89 |
| - Ticker (if ISIN is not available). | LMCA41 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BT9QFH3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5825000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8452308.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.0720570833 |
| 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. | 2023-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | LIBERTY MEDIA CORP | LIBERTY MEDIA CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 531229870 | ||
| ISIN (if CUSIP is not available) | US5312298707 | ||
| Ticker (if CUSIP and ISIN are not available) | FWONA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD72R64 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 21.0859000000 | 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: 151 |
| a. Name of issuer (if any). | Liberty Media Corp-Liberty Formula One |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LIBERTY MEDIA CORP |
| d. CUSIP (if any). | 531229AF9 |
| At least one of the following other identifiers: |
| - ISIN | US531229AF93 |
| - Ticker (if ISIN is not available). | LMCA46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF4J416 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7655800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9710311809 |
| 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. | 2023-01-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | LIBERTY MEDIA CORP | LIBERTY MEDIA CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 531229854 | ||
| ISIN (if CUSIP is not available) | US5312298541 | ||
| Ticker (if CUSIP and ISIN are not available) | FWONK | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD8QGD5 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 27.1091000000 | 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: 152 |
| a. Name of issuer (if any). | NextEra Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEXTERA ENERGY INC (NYXGU) |
| d. CUSIP (if any). | 65339F770 |
| At least one of the following other identifiers: |
| - ISIN | US65339F7704 |
| - Ticker (if ISIN is not available). | NEEpP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPX575 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 68765.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3745629.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4750807342 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2023-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.279 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NextEra Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEXTERA ENERGY INC |
| d. CUSIP (if any). | 65339F796 |
| At least one of the following other identifiers: |
| - ISIN | US65339F7969 |
| - Ticker (if ISIN is not available). | NEE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK4W313 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 123080.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7781117.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9869259662 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2022-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.872 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Liberty Media Corp |
| b. LEI (if any) of issuer. (1) | 549300ZKUTPIBZLWLL89 |
| c. Title of the issue or description of the investment. | LIBERTY MEDIA CORP |
| d. CUSIP (if any). | 531229AK8 |
| At least one of the following other identifiers: |
| - ISIN | US531229AK88 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0T416 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10218640.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.2960915993 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2050-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | LIBERTY MEDIA CORP | LIBERTY MEDIA CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 538034109 | ||
| ISIN (if CUSIP is not available) | US5380341090 | ||
| Ticker (if CUSIP and ISIN are not available) | LYV | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B0T7YX2 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 11.0983000000 | 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: 155 |
| a. Name of issuer (if any). | Ligado Networks LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LIGADO NETWORKS LLC |
| d. CUSIP (if any). | 53225HAA8 |
| At least one of the following other identifiers: |
| - ISIN | US53225HAA86 |
| - Ticker (if ISIN is not available). | JPM506 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCCSS1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 146188.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131749.0100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0167105197 |
| 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. | 2023-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 15.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LivePerson Inc |
| b. LEI (if any) of issuer. (1) | 549300IN2P1JZ20G7N40 |
| c. Title of the issue or description of the investment. | LIVEPERSON INC |
| d. CUSIP (if any). | 538146AC5 |
| At least one of the following other identifiers: |
| - ISIN | US538146AC59 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG8NH6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4161515.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5278299883 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | LIVEPERSON INC | LIVEPERSON INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 538146101 | ||
| ISIN (if CUSIP is not available) | US5381461012 | ||
| Ticker (if CUSIP and ISIN are not available) | LPSN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2577052 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 13.2933000000 | 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: 157 |
| a. Name of issuer (if any). | Lyft Inc |
| b. LEI (if any) of issuer. (1) | 549300H7I5VN334XVZ52 |
| c. Title of the issue or description of the investment. | LYFT INC |
| d. CUSIP (if any). | 55087PAB0 |
| At least one of the following other identifiers: |
| - ISIN | US55087PAB04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM90LC3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4877985.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6187041896 |
| 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. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | LYFT INC | LYFT INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 55087P104 | ||
| ISIN (if CUSIP is not available) | US55087P1049 | ||
| Ticker (if CUSIP and ISIN are not available) | LYFT | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BJT1RW7 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 26.0491000000 | 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: 158 |
| a. Name of issuer (if any). | M/I Homes Inc |
| b. LEI (if any) of issuer. (1) | 5299005M71FH9CCSFB69 |
| c. Title of the issue or description of the investment. | M/I HOMES INC |
| d. CUSIP (if any). | 55305BAS0 |
| At least one of the following other identifiers: |
| - ISIN | US55305BAS07 |
| - Ticker (if ISIN is not available). | MHO499 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFZYX4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 205000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 213884.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0271282835 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.950 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | M/I Homes Inc |
| b. LEI (if any) of issuer. (1) | 5299005M71FH9CCSFB69 |
| c. Title of the issue or description of the investment. | M/I HOMES INC |
| d. CUSIP (if any). | 55305BAT8 |
| At least one of the following other identifiers: |
| - ISIN | US55305BAT89 |
| - Ticker (if ISIN is not available). | MHO523 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNSNR33 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 173024.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0219457068 |
| 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. | 3.950 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MPH Acquisition Holdings LLC |
| b. LEI (if any) of issuer. (1) | 5493002WXOPRPTXWTU06 |
| c. Title of the issue or description of the investment. | MPH ACQUISITION HOLDINGS |
| d. CUSIP (if any). | 553283AD4 |
| At least one of the following other identifiers: |
| - ISIN | US553283AD43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH8323 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129307.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0164007976 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MP Materials Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MP MATERIALS CORP |
| d. CUSIP (if any). | 553368AA9 |
| At least one of the following other identifiers: |
| - ISIN | US553368AA93 |
| - Ticker (if ISIN is not available). | MP5154 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYLH23 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5225000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5521884.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7003738377 |
| 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. | 2026-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | MP MATERIALS CORP | MP MATERIALS CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 553368101 | ||
| ISIN (if CUSIP is not available) | US5533681012 | ||
| Ticker (if CUSIP and ISIN are not available) | MP | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BN15Y35 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 22.5861000000 | 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: 162 |
| a. Name of issuer (if any). | Macy's Retail Holdings LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MACY'S RETAIL HLDGS LLC |
| d. CUSIP (if any). | 55616XAG2 |
| At least one of the following other identifiers: |
| - ISIN | US55616XAG25 |
| - Ticker (if ISIN is not available). | M.AA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7KGR83 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 61299.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0077749908 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2042-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 163 |
| a. Name of issuer (if any). | Macy's Retail Holdings LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MACY'S RETAIL HLDGS LLC |
| d. CUSIP (if any). | 55617LAL6 |
| At least one of the following other identifiers: |
| - ISIN | US55617LAL62 |
| - Ticker (if ISIN is not available). | M50225 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK9RMQ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 277000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 317818.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0403108607 |
| 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. | 2034-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.700 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NuStar Energy LP |
| b. LEI (if any) of issuer. (1) | 5493003BMLTUIEG2LG44 |
| c. Title of the issue or description of the investment. | NUSTAR ENERGY LP |
| d. CUSIP (if any). | 67058H201 |
| At least one of the following other identifiers: |
| - ISIN | US67058H2013 |
| - Ticker (if ISIN is not available). | NSpA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYVQFR6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7360.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 180393.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0228804058 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2049-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NuStar Energy LP |
| b. LEI (if any) of issuer. (1) | 5493003BMLTUIEG2LG44 |
| c. Title of the issue or description of the investment. | NUSTAR ENERGY LP |
| d. CUSIP (if any). | 67058H300 |
| At least one of the following other identifiers: |
| - ISIN | US67058H3003 |
| - Ticker (if ISIN is not available). | NSpB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF0XV77 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 14819.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 335650.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0425725536 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2049-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 7.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 166 |
| a. Name of issuer (if any). | MakeMyTrip Ltd |
| b. LEI (if any) of issuer. (1) | 529900DNT8HNJ7RYUO60 |
| c. Title of the issue or description of the investment. | MAKEMYTRIP LIMITED |
| d. CUSIP (if any). | 56087FAA2 |
| At least one of the following other identifiers: |
| - ISIN | US56087FAA21 |
| - Ticker (if ISIN is not available). | MMYT51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPSSM6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3677000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3902436.8700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4949695502 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
INDIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | MAKEMYTRIP LIMITED | MAKEMYTRIP LIMITED | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | MU0295S00016 | ||
| Ticker (if CUSIP and ISIN are not available) | MMYT | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B552PC2 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 25.8035000000 | 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: 167 |
| a. Name of issuer (if any). | Mallinckrodt International Finance SA / Mallinckrodt CB LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MALLINCKRODT FIN/SB -DEFAULT- |
| d. CUSIP (if any). | 561233AD9 |
| At least one of the following other identifiers: |
| - ISIN | US561233AD96 |
| - Ticker (if ISIN is not available). | COV428 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYMTB43 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 465000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 209566.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0265805422 |
| 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. | 2023-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 168 |
| a. Name of issuer (if any). | NuStar Logistics LP |
| b. LEI (if any) of issuer. (1) | N62BF2PKP51FIIOIUN20 |
| c. Title of the issue or description of the investment. | NUSTAR LOGISTICS LP |
| d. CUSIP (if any). | 67059T204 |
| At least one of the following other identifiers: |
| - ISIN | US67059T2042 |
| - Ticker (if ISIN is not available). | NSS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B8S0HY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12000.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 302760.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0384008726 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2043-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 6.866 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ranger Oil Corp |
| b. LEI (if any) of issuer. (1) | 5493003S4AVU6OSXB118 |
| c. Title of the issue or description of the investment. | RANGER OIL CORP-A |
| d. CUSIP (if any). | 70788V102 |
| At least one of the following other identifiers: |
| - ISIN | US70788V1026 |
| - Ticker (if ISIN is not available). | ROCC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZCD9S2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6444.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 212909.7600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0270046260 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 170 |
| a. Name of issuer (if any). | Marriott Vacations Worldwide Corp |
| b. LEI (if any) of issuer. (1) | 549300WA6BT5H4F7IO94 |
| c. Title of the issue or description of the investment. | MARRIOTT VACATION WORLDW |
| d. CUSIP (if any). | 57164YAC1 |
| At least one of the following other identifiers: |
| - ISIN | US57164YAC12 |
| - Ticker (if ISIN is not available). | MAR512 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG4MP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11273800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.4299238913 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | MARRIOTT VACATION WORLDW | MARRIOTT VACATION WORLDW | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 57164Y107 | ||
| ISIN (if CUSIP is not available) | US57164Y1073 | ||
| Ticker (if CUSIP and ISIN are not available) | VAC | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B45K9N8 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 5.8476000000 | 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: 171 |
| a. Name of issuer (if any). | MasTec Inc |
| b. LEI (if any) of issuer. (1) | 549300TMDIT8WREDOF45 |
| c. Title of the issue or description of the investment. | MASTEC INC |
| d. CUSIP (if any). | 576323AP4 |
| At least one of the following other identifiers: |
| - ISIN | US576323AP42 |
| - Ticker (if ISIN is not available). | MTZ501 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXDBY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 134000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 137948.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0174968992 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Schlumberger NV |
| b. LEI (if any) of issuer. (1) | 213800ZUA17OK3QLGM62 |
| c. Title of the issue or description of the investment. | SCHLUMBERGER LTD |
| d. CUSIP (if any). | 806857108 |
| At least one of the following other identifiers: |
| - ISIN | AN8068571086 |
| - Ticker (if ISIN is not available). | SLB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2779201 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1960.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 63229.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0080197906 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 173 |
| a. Name of issuer (if any). | 2020 Cash Mandatory Exchangeable Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | T-MOBILE US INC |
| d. CUSIP (if any). | 901375105 |
| At least one of the following other identifiers: |
| - ISIN | US9013751055 |
| - Ticker (if ISIN is not available). | CSHZZ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB3BP3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6750.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7078407.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8977970475 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Vertiv Group Corp |
| b. LEI (if any) of issuer. (1) | 549300ZT8RQ5VK10E643 |
| c. Title of the issue or description of the investment. | VERTIV GROUP CORPORATION |
| 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 | 265000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 264477.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0335453298 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 175 |
| a. Name of issuer (if any). | Viavi Solutions Inc |
| b. LEI (if any) of issuer. (1) | 5493006K3E3N1QOBF092 |
| c. Title of the issue or description of the investment. | VIAVI SOLUTIONS INC |
| d. CUSIP (if any). | 925550AF2 |
| At least one of the following other identifiers: |
| - ISIN | US925550AF21 |
| - Ticker (if ISIN is not available). | VIAV52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXJTR7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 325000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 322949.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0409615966 |
| 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. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Match Group Holdings II LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MATCH GROUP HLD II LLC |
| d. CUSIP (if any). | 57667JAA0 |
| At least one of the following other identifiers: |
| - ISIN | US57667JAA07 |
| - Ticker (if ISIN is not available). | MTCG52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP94PM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 126367.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0160279885 |
| 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. | 2031-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 177 |
| a. Name of issuer (if any). | Mattel Inc |
| b. LEI (if any) of issuer. (1) | 549300VELLG24KHTJ564 |
| c. Title of the issue or description of the investment. | MATTEL INC |
| d. CUSIP (if any). | 577081BD3 |
| At least one of the following other identifiers: |
| - ISIN | US577081BD37 |
| - Ticker (if ISIN is not available). | MAT491 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKMKKY1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 377748.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0479120518 |
| 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. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 178 |
| 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 | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 310579.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0393926922 |
| 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. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Mozart Borrower LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MOZART BORROWER LP |
| d. CUSIP (if any). | 58503UAC7 |
| At least one of the following other identifiers: |
| - ISIN | US58503UAC71 |
| Balance. (2) |
| a. Balance | 70000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 70131.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0088951684 |
| 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. | 2028-10-23 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Viking Cruises Ltd |
| b. LEI (if any) of issuer. (1) | 549300IJP90T4MV2GL84 |
| c. Title of the issue or description of the investment. | VIKING CRUISES LTD |
| d. CUSIP (if any). | 92676XAE7 |
| At least one of the following other identifiers: |
| - ISIN | US92676XAE76 |
| - Ticker (if ISIN is not available). | VIKH49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF6PS9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 74649.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0094682136 |
| 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. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 13.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Vine Energy Holdings LLC |
| b. LEI (if any) of issuer. (1) | 254900PNIMG4CPJH6R25 |
| c. Title of the issue or description of the investment. | VINE ENERGY HOLDINGS LLC |
| d. CUSIP (if any). | 92735LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US92735LAA08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTFHM7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 133000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 143171.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0181593460 |
| 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. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Viper Energy Partners LP |
| b. LEI (if any) of issuer. (1) | 5299009LINL232255G03 |
| c. Title of the issue or description of the investment. | VIPER ENERGY PARTNERS LP |
| d. CUSIP (if any). | 92763MAA3 |
| At least one of the following other identifiers: |
| - ISIN | US92763MAA36 |
| - Ticker (if ISIN is not available). | FANG48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKVB302 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 146004.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0185186420 |
| 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. | 2027-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 183 |
| a. Name of issuer (if any). | Vistra Corp |
| b. LEI (if any) of issuer. (1) | 549300KP43CPCUJOOG15 |
| c. Title of the issue or description of the investment. | VISTRA CORP |
| d. CUSIP (if any). | 92840MAB8 |
| At least one of the following other identifiers: |
| - ISIN | US92840MAB81 |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 141916.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0180000666 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | W&T Offshore Inc |
| b. LEI (if any) of issuer. (1) | 549300Q7EOY2YIO3YK85 |
| c. Title of the issue or description of the investment. | W & T OFFSHORE INC |
| d. CUSIP (if any). | 92922PAL0 |
| At least one of the following other identifiers: |
| - ISIN | US92922PAL04 |
| - Ticker (if ISIN is not available). | WTI473 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFMWYY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 190134.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0241159344 |
| 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. | 2023-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WW International Inc |
| b. LEI (if any) of issuer. (1) | SGT8R1MU6ESIC7UJC518 |
| c. Title of the issue or description of the investment. | WW INTERNATIONAL INC |
| d. CUSIP (if any). | 92941PAC7 |
| At least one of the following other identifiers: |
| - ISIN | US92941PAC77 |
| Balance. (2) |
| a. Balance | 468825.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 464038.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0588567698 |
| 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. | 2028-04-13 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Meredith Corp |
| b. LEI (if any) of issuer. (1) | 549300YC8BC386CCTS24 |
| c. Title of the issue or description of the investment. | MEREDITH CORP |
| d. CUSIP (if any). | 58943PAR3 |
| At least one of the following other identifiers: |
| - ISIN | US58943PAR38 |
| Balance. (2) |
| a. Balance | 385556.9400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 394191.4900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0499976786 |
| 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. | 2025-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Meritor Inc |
| b. LEI (if any) of issuer. (1) | 5LTG829X630QFHTFBO82 |
| c. Title of the issue or description of the investment. | MERITOR INC |
| d. CUSIP (if any). | 59001KAH3 |
| At least one of the following other identifiers: |
| - ISIN | US59001KAH32 |
| - Ticker (if ISIN is not available). | ARM508 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6KMF3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 301000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 301586.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0382520876 |
| 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. | 2028-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Wabash National Corp |
| b. LEI (if any) of issuer. (1) | 5299004ZAWHQZI5XO485 |
| c. Title of the issue or description of the investment. | WABASH NATIONAL CORP |
| d. CUSIP (if any). | 929566AL1 |
| At least one of the following other identifiers: |
| - ISIN | US929566AL19 |
| - Ticker (if ISIN is not available). | WNC526 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCV7R0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 274000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 266760.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0338348927 |
| 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. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Chaparral Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CHAPARRAL ENERGY |
| d. CUSIP (if any). | 931QWA901 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 931QWA901 |
| Description of other unique identifier. | INTERNAL ID |
| Balance. (2) |
| a. Balance | 2577.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 97926.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0124205438 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 190 |
| a. Name of issuer (if any). | Midas OpCo Holdings LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MIDAS OPCO HOLDINGS LLC |
| d. CUSIP (if any). | 59565JAA9 |
| At least one of the following other identifiers: |
| - ISIN | US59565JAA97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMY8TS4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 235000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 239742.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0304079585 |
| 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. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 191 |
| a. Name of issuer (if any). | Middleby Corp/The |
| b. LEI (if any) of issuer. (1) | JDFO86U9VQRBKW5KYA35 |
| c. Title of the issue or description of the investment. | MIDDLEBY CORP |
| d. CUSIP (if any). | 596278AB7 |
| At least one of the following other identifiers: |
| - ISIN | US596278AB74 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTPMM5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5649262.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7165299559 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | MIDDLEBY CORP | MIDDLEBY CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 596278101 | ||
| ISIN (if CUSIP is not available) | US5962781010 | ||
| Ticker (if CUSIP and ISIN are not available) | MIDD | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2590930 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 7.7746000000 | 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: 192 |
| a. Name of issuer (if any). | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MIDWEST GMNG BOR/MWG FIN |
| d. CUSIP (if any). | 59833DAB6 |
| At least one of the following other identifiers: |
| - ISIN | US59833DAB64 |
| - Ticker (if ISIN is not available). | MWSG51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8F7J8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 302838.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0384107658 |
| 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. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 193 |
| a. Name of issuer (if any). | Mohegan Gaming & Entertainment |
| b. LEI (if any) of issuer. (1) | 549300UB083Z2NRDHC48 |
| c. Title of the issue or description of the investment. | MOHEGAN GAMING & ENT |
| d. CUSIP (if any). | 608328BH2 |
| At least one of the following other identifiers: |
| - ISIN | US608328BH21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYW168 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 295000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 305248.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0387164786 |
| 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. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Guitar Center Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GUITAR CENTER INC |
| d. CUSIP (if any). | 935XXF900 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 935XXF900 |
| Description of other unique identifier. | Internal ID |
| Balance. (2) |
| a. Balance | 1722.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 215250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0273014527 |
| 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. | 2049-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 15.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AP Core Holdings II LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AP CORE HOLDINGS II LLC |
| d. CUSIP (if any). | 938QVBII4 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 938QVBII4 |
| Description of other unique identifier. | INTERNAL ID |
| Balance. (2) |
| a. Balance | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 311098.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0394585518 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MongoDB Inc |
| b. LEI (if any) of issuer. (1) | 549300TPTG69WKWE1Z37 |
| c. Title of the issue or description of the investment. | MONGODB INC |
| d. CUSIP (if any). | 60937PAD8 |
| At least one of the following other identifiers: |
| - ISIN | US60937PAD87 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDGRV8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 15075120.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.9120681804 |
| 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. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | MONGODB INC | MONGODB INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 60937P106 | ||
| ISIN (if CUSIP is not available) | US60937P1066 | ||
| Ticker (if CUSIP and ISIN are not available) | MDB | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BF2FJ99 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 4.7349000000 | 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: 197 |
| a. Name of issuer (if any). | Moog Inc |
| b. LEI (if any) of issuer. (1) | 549300WM2I4U7OBAHG07 |
| c. Title of the issue or description of the investment. | MOOG INC |
| d. CUSIP (if any). | 615394AM5 |
| At least one of the following other identifiers: |
| - ISIN | US615394AM52 |
| - Ticker (if ISIN is not available). | MOG492 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKQNVK9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 170000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 175530.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0222635388 |
| 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. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Waste Pro USA Inc |
| b. LEI (if any) of issuer. (1) | 549300BY1QXU5BI3UF28 |
| c. Title of the issue or description of the investment. | WASTE PRO USA INC |
| d. CUSIP (if any). | 94107JAA1 |
| At least one of the following other identifiers: |
| - ISIN | US94107JAA16 |
| - Ticker (if ISIN is not available). | WPIN45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFY0Z83 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 173489.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0220047489 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Superior Energy Services Inc. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SUPERIOR ENERGY SERVICES INC. CLASS A |
| d. CUSIP (if any). | 942HDG005 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 942HDG005 |
| Description of other unique identifier. | INTERNAL ID |
| Balance. (2) |
| a. Balance | 4189.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 189552.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0240420525 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 200 |
| a. Name of issuer (if any). | Petco Health & Wellness Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PETCO HEALTH & WELLNESS |
| d. CUSIP (if any). | 942JDZII1 |
| At least one of the following other identifiers: |
| - ISIN | US71579UAF21 |
| Balance. (2) |
| a. Balance | 472625.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 473048.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0599995243 |
| 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. | 2028-03-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BW Gas & Convenience Holdings LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BW GAS & CONVENIENCE HOL |
| d. CUSIP (if any). | 942MRPII1 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 942MRPII1 |
| Description of other unique identifier. | Internal Identifier |
| Balance. (2) |
| a. Balance | 266033.2500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 267363.4200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0339113114 |
| 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. | 2028-03-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Moss Creek Resources Holdings Inc |
| b. LEI (if any) of issuer. (1) | 54930037SLMSPWKYIX36 |
| c. Title of the issue or description of the investment. | MOSS CREEK RESOURCES HLD |
| d. CUSIP (if any). | 61965RAA3 |
| At least one of the following other identifiers: |
| - ISIN | US61965RAA32 |
| - Ticker (if ISIN is not available). | MSSK45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2BQ63 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 118359.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0150122856 |
| 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. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Moss Creek Resources Holdings Inc |
| b. LEI (if any) of issuer. (1) | 54930037SLMSPWKYIX36 |
| c. Title of the issue or description of the investment. | MOSS CREEK RESOURCES HLD |
| d. CUSIP (if any). | 61965RAB1 |
| At least one of the following other identifiers: |
| - ISIN | US61965RAB15 |
| - Ticker (if ISIN is not available). | MSSK48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGV1LB1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 145000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 144034.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0182687370 |
| 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. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Mozart Debt Merger Sub Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MOZART DEBT MERGER SUB |
| d. CUSIP (if any). | 62482BAA0 |
| At least one of the following other identifiers: |
| - ISIN | US62482BAA08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW4P42 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 335000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 333469.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0422958862 |
| 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. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 205 |
| a. Name of issuer (if any). | Mozart Debt Merger Sub Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MOZART DEBT MERGER SUB |
| d. CUSIP (if any). | 62482BAB8 |
| At least one of the following other identifiers: |
| - ISIN | US62482BAB80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWDGR9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 201000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 204390.8700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0259241239 |
| 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. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Murphy Oil Corp |
| b. LEI (if any) of issuer. (1) | QBKYQD0ODE7DC7PDIN91 |
| c. Title of the issue or description of the investment. | MURPHY OIL CORP |
| d. CUSIP (if any). | 626717AN2 |
| At least one of the following other identifiers: |
| - ISIN | US626717AN25 |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 137488.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0174384303 |
| 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. | 6.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 207 |
| 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 CORPORATION LTD |
| d. CUSIP (if any). | 62886HAT8 |
| At least one of the following other identifiers: |
| - ISIN | US62886HAT86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYY636 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5681857.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7206641759 |
| 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. | 2024-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | NCL CORPORATION LTD | NCL CORPORATION LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | BMG667211046 | ||
| Ticker (if CUSIP and ISIN are not available) | NCLH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B9CGTC3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 72.7273000000 | 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: 208 |
| 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 CORPORATION LTD |
| d. CUSIP (if any). | 62886HAX9 |
| At least one of the following other identifiers: |
| - ISIN | US62886HAX98 |
| - Ticker (if ISIN is not available). | NCLH52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8BNV0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3739000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6229323.5600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7901025905 |
| 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. | 2025-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☒ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | NCL CORPORATION LTD | NCL CORPORATION LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | BMG667211046 | ||
| Ticker (if CUSIP and ISIN are not available) | NCLH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B9CGTC3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 53.3333000000 | 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: 209 |
| a. Name of issuer (if any). | NRG Energy Inc |
| b. LEI (if any) of issuer. (1) | 5E2UPK5SW04M13XY7I38 |
| c. Title of the issue or description of the investment. | NRG ENERGY INC |
| d. CUSIP (if any). | 629377CC4 |
| At least one of the following other identifiers: |
| - ISIN | US629377CC47 |
| - Ticker (if ISIN is not available). | NRG448 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQJCN5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 29000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 30156.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0038249697 |
| 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. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 210 |
| a. Name of issuer (if any). | Wayfair Inc |
| b. LEI (if any) of issuer. (1) | 54930027N9ZAVYFDHK53 |
| c. Title of the issue or description of the investment. | WAYFAIR INC |
| d. CUSIP (if any). | 94419LAM3 |
| At least one of the following other identifiers: |
| - ISIN | US94419LAM37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKSH284 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10853150.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.3765703207 |
| 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. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☒ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | WAYFAIR INC | WAYFAIR INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 94419L101 | ||
| ISIN (if CUSIP is not available) | US94419L1017 | ||
| Ticker (if CUSIP and ISIN are not available) | W | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BQXZP64 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.3972000000 | 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: 211 |
| a. Name of issuer (if any). | Weatherford International Ltd |
| b. LEI (if any) of issuer. (1) | 549300A2JKMG5PGOGF82 |
| c. Title of the issue or description of the investment. | WEATHERFORD INTERNATIONA |
| d. CUSIP (if any). | 947075AU1 |
| At least one of the following other identifiers: |
| - ISIN | US947075AU14 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRPC80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 133000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 136883.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0173617707 |
| 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. | 2030-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 212 |
| a. Name of issuer (if any). | WESCO Distribution Inc |
| b. LEI (if any) of issuer. (1) | 549300I2CEZJG9N4AH67 |
| c. Title of the issue or description of the investment. | WESCO DISTRIBUTION INC |
| d. CUSIP (if any). | 95081QAP9 |
| At least one of the following other identifiers: |
| - ISIN | US95081QAP90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYMZT9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 68000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 75111.4400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0095268359 |
| 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. | 2028-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Williams Cos Inc/The |
| b. LEI (if any) of issuer. (1) | D71FAKCBLFS2O0RBPG08 |
| c. Title of the issue or description of the investment. | WILLIAMS COS INC |
| d. CUSIP (if any). | 969457100 |
| At least one of the following other identifiers: |
| - ISIN | US9694571004 |
| - Ticker (if ISIN is not available). | WMB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2967181 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2400.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 67416.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0085507769 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 214 |
| a. Name of issuer (if any). | Nationstar Mortgage Holdings Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NATIONSTAR MTG HLD INC |
| d. CUSIP (if any). | 63861CAC3 |
| At least one of the following other identifiers: |
| - ISIN | US63861CAC38 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD7LH5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 365000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 374636.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0475173382 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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). | 63938CAK4 |
| At least one of the following other identifiers: |
| - ISIN | US63938CAK45 |
| - Ticker (if ISIN is not available). | SLM494 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL97KP3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 588000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 600453.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0761591736 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Netflix Inc |
| b. LEI (if any) of issuer. (1) | 549300Y7VHGU0I7CE873 |
| c. Title of the issue or description of the investment. | NETFLIX INC |
| d. CUSIP (if any). | 64110LAS5 |
| At least one of the following other identifiers: |
| - ISIN | US64110LAS51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG47ZP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 149115.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0189131781 |
| 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. | 2028-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 217 |
| a. Name of issuer (if any). | New Fortress Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEW FORTRESS ENERGY INC |
| d. CUSIP (if any). | 644393AA8 |
| At least one of the following other identifiers: |
| - ISIN | US644393AA81 |
| - Ticker (if ISIN is not available). | NFE503 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNGFXX3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 128727.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0163273113 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Williams Scotsman International Inc |
| b. LEI (if any) of issuer. (1) | 549300V3TCHCBOBTGH07 |
| c. Title of the issue or description of the investment. | WILLIAMS SCOTSMAN INTL |
| d. CUSIP (if any). | 96950GAE2 |
| At least one of the following other identifiers: |
| - ISIN | US96950GAE26 |
| - Ticker (if ISIN is not available). | TDRCP5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH1V40 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 67000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 69313.5100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0087914496 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 219 |
| a. Name of issuer (if any). | Winnebago Industries Inc |
| b. LEI (if any) of issuer. (1) | 549300B7OYKYJLTE3G11 |
| c. Title of the issue or description of the investment. | WINNEBAGO INDUSTRIES |
| d. CUSIP (if any). | 974637AB6 |
| At least one of the following other identifiers: |
| - ISIN | US974637AB61 |
| - Ticker (if ISIN is not available). | WGO508 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN13KX1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6707400.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8507399021 |
| 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. | 2025-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | WINNEBAGO INDUSTRIES | WINNEBAGO INDUSTRIES | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 974637100 | ||
| ISIN (if CUSIP is not available) | US9746371007 | ||
| Ticker (if CUSIP and ISIN are not available) | WGO | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2972721 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 15.6906000000 | 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: 220 |
| a. Name of issuer (if any). | New Fortress Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEW FORTRESS ENERGY INC |
| d. CUSIP (if any). | 644393AB6 |
| At least one of the following other identifiers: |
| - ISIN | US644393AB64 |
| - Ticker (if ISIN is not available). | NFE515 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP0X973 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131409.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0166673942 |
| 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. | 2026-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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). | 651229AW6 |
| At least one of the following other identifiers: |
| - ISIN | US651229AW64 |
| - Ticker (if ISIN is not available). | NWL434 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD3J3H2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 257000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 281700.2700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0357297403 |
| 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. | 2026-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.700 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Workday Inc |
| b. LEI (if any) of issuer. (1) | 549300J0DYC0N31V7G13 |
| c. Title of the issue or description of the investment. | WORKDAY INC |
| d. CUSIP (if any). | 98138HAF8 |
| At least one of the following other identifiers: |
| - ISIN | US98138HAF82 |
| - Ticker (if ISIN is not available). | WDAY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZ7L52 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8902440.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1291500334 |
| 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. | 2022-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | WORKDAY INC | WORKDAY INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 98138H101 | ||
| ISIN (if CUSIP is not available) | US98138H1014 | ||
| Ticker (if CUSIP and ISIN are not available) | WDAY | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B8K6ZD1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 6.7982000000 | 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: 223 |
| a. Name of issuer (if any). | XHR LP |
| b. LEI (if any) of issuer. (1) | 549300M88BPT83ZL2164 |
| c. Title of the issue or description of the investment. | XHR LP |
| d. CUSIP (if any). | 98372MAA3 |
| At least one of the following other identifiers: |
| - ISIN | US98372MAA36 |
| - Ticker (if ISIN is not available). | XHR502 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPVMF6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 280000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 295579.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0374900885 |
| 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. | 6.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 224 |
| a. Name of issuer (if any). | XHR LP |
| b. LEI (if any) of issuer. (1) | 549300M88BPT83ZL2164 |
| c. Title of the issue or description of the investment. | XHR LP |
| d. CUSIP (if any). | 98372MAC9 |
| At least one of the following other identifiers: |
| - ISIN | US98372MAC91 |
| - Ticker (if ISIN is not available). | XHR518 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXXLB7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 133424.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0169229941 |
| 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. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 225 |
| a. Name of issuer (if any). | Zendesk Inc |
| b. LEI (if any) of issuer. (1) | 549300SLI6BN94BKKO36 |
| c. Title of the issue or description of the investment. | ZENDESK INC |
| d. CUSIP (if any). | 98936JAD3 |
| At least one of the following other identifiers: |
| - ISIN | US98936JAD37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD24F9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10263662.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.3018020739 |
| 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. | 0.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | ZENDESK INC | ZENDESK INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 98936J101 | ||
| ISIN (if CUSIP is not available) | US98936J1016 | ||
| Ticker (if CUSIP and ISIN are not available) | ZEN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BMH0MR7 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 9.1944000000 | 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: 226 |
| a. Name of issuer (if any). | Zscaler Inc |
| b. LEI (if any) of issuer. (1) | 529900MZ0RTK1BWRNF46 |
| c. Title of the issue or description of the investment. | ZSCALER INC. |
| d. CUSIP (if any). | 98980GAB8 |
| At least one of the following other identifiers: |
| - ISIN | US98980GAB86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL97053 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6314000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 13640891.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.7301563978 |
| 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. | 2025-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | ZSCALER INC. | ZSCALER INC. | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 98980G102 | ||
| ISIN (if CUSIP is not available) | US98980G1022 | ||
| Ticker (if CUSIP and ISIN are not available) | ZS | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BZ00V34 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 6.6315000000 | 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: 227 |
| a. Name of issuer (if any). | ZoomInfo Technologies LLC/ZoomInfo Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ZI TECH LLC/ZI FIN CORP |
| d. CUSIP (if any). | 98981BAA0 |
| At least one of the following other identifiers: |
| - ISIN | US98981BAA08 |
| - Ticker (if ISIN is not available). | ZINF51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGS3M4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 298347.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0378411452 |
| 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. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 228 |
| a. Name of issuer (if any). | Nexstar Media Inc |
| b. LEI (if any) of issuer. (1) | 5493006PK6I4I2OOT688 |
| c. Title of the issue or description of the investment. | NEXSTAR BROADCASTING INC |
| d. CUSIP (if any). | 65336RAW8 |
| At least one of the following other identifiers: |
| - ISIN | US65336RAW88 |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 124953.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0158485574 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-09-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.836 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Nielsen Finance LLC / Nielsen Finance Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NIELSEN FINANCE LLC/CO |
| d. CUSIP (if any). | 65409QBH4 |
| At least one of the following other identifiers: |
| - ISIN | US65409QBH48 |
| - Ticker (if ISIN is not available). | NIEF51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLB14S4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 298561.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0378683452 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Nova Ltd |
| b. LEI (if any) of issuer. (1) | 529900B2DSWE5V3SC292 |
| c. Title of the issue or description of the investment. | NOVA LTD |
| d. CUSIP (if any). | 66980MAB2 |
| At least one of the following other identifiers: |
| - ISIN | US66980MAB28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG9B12 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5010000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7658787.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9714100401 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ISRAEL
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | NOVA LTD | NOVA LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | IL0010845571 | ||
| Ticker (if CUSIP and ISIN are not available) | NVMI | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2577740 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 13.4048000000 | 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: 231 |
| a. Name of issuer (if any). | Novelis Corp |
| b. LEI (if any) of issuer. (1) | 549300G5F3W3B52WYL23 |
| c. Title of the issue or description of the investment. | NOVELIS CORP |
| d. CUSIP (if any). | 670001AE6 |
| At least one of the following other identifiers: |
| - ISIN | US670001AE60 |
| - Ticker (if ISIN is not available). | HNDNF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKLPSC1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 272000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 283190.0800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0359187019 |
| 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. | 2030-01-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NuVasive Inc |
| b. LEI (if any) of issuer. (1) | 549300C5ZB4NZ6TWM881 |
| c. Title of the issue or description of the investment. | NUVASIVE INC |
| d. CUSIP (if any). | 670704AJ4 |
| At least one of the following other identifiers: |
| - ISIN | US670704AJ40 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN775T8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3319470.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4210283542 |
| 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. | 0.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | NUVASIVE INC | NUVASIVE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 670704105 | ||
| ISIN (if CUSIP is not available) | US6707041058 | ||
| Ticker (if CUSIP and ISIN are not available) | NUVA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B00GJC2 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 10.7198000000 | 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: 233 |
| a. Name of issuer (if any). | OCI NV |
| b. LEI (if any) of issuer. (1) | 549300NCMRGIBJYUOE57 |
| c. Title of the issue or description of the investment. | OCI NV |
| d. CUSIP (if any). | 67091GAE3 |
| At least one of the following other identifiers: |
| - ISIN | US67091GAE35 |
| - Ticker (if ISIN is not available). | OCINF5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD3YR4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 261000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 272126.4300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0345154326 |
| 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. | 2025-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 234 |
| a. Name of issuer (if any). | Oak Street Health Inc |
| b. LEI (if any) of issuer. (1) | 2549007CJE6GSEURLA30 |
| c. Title of the issue or description of the investment. | OAK STREET HEALTH INC |
| d. CUSIP (if any). | 67181AAA5 |
| At least one of the following other identifiers: |
| - ISIN | US67181AAA51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNLQN5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4443435.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5635875983 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | OAK STREET HEALTH INC | OAK STREET HEALTH INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 67181A107 | ||
| ISIN (if CUSIP is not available) | US67181A1079 | ||
| Ticker (if CUSIP and ISIN are not available) | OSH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BN2XDL9 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 12.6328000000 | 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: 235 |
| a. Name of issuer (if any). | Oasis Midstream Partners LP / OMP Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | OASIS MIDSTREAM PARTNERS |
| d. CUSIP (if any). | 67421QAA0 |
| At least one of the following other identifiers: |
| - ISIN | US67421QAA04 |
| - Ticker (if ISIN is not available). | OAS515 |
| - 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 | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 71837.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0091116078 |
| 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. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Zynga Inc |
| b. LEI (if any) of issuer. (1) | 549300XNQ0U2EL088Z74 |
| c. Title of the issue or description of the investment. | ZYNGA INC |
| d. CUSIP (if any). | 98986TAB4 |
| At least one of the following other identifiers: |
| - ISIN | US98986TAB44 |
| - Ticker (if ISIN is not available). | ZNGA50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG7570 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7497930.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9510075788 |
| 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. | 2024-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ZYNGA INC | ZYNGA INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 98986T108 | ||
| ISIN (if CUSIP is not available) | US98986T1088 | ||
| Ticker (if CUSIP and ISIN are not available) | ZNGA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B79PX49 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 120.3695000000 | 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: 237 |
| a. Name of issuer (if any). | Tesla Inc |
| b. LEI (if any) of issuer. (1) | 54930043XZGB27CTOV49 |
| c. Title of the issue or description of the investment. | TESLA INC |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | TSLA22 |
| Balance. (2) |
| a. Balance | 625.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 810937.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1028560827 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | TESLA INC |
| Title of issue. | TESLA INC |
| At least one of the following other identifiers: |
| - CUSIP. | 88160R101 |
| - ISIN (if CUSIP is not available). | US88160R1014 |
| - Ticker (if CUSIP and ISIN are not available). | TSLA |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B616C79 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 700.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -9119740.9700000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Occidental Petroleum Corp |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | OCCIDENTAL PETROLEUM COR |
| d. CUSIP (if any). | 674599CW3 |
| At least one of the following other identifiers: |
| - ISIN | US674599CW33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9NFL8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 605000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 616718.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0782221627 |
| 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. | 2.900 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Occidental Petroleum Corp |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | OCCIDENTAL PETROLEUM COR |
| d. CUSIP (if any). | 674599CX1 |
| At least one of the following other identifiers: |
| - ISIN | US674599CX16 |
| - Ticker (if ISIN is not available). | APC486 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9NFR4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 815000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 819197.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1039037165 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2039-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.300 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Tesla Inc |
| b. LEI (if any) of issuer. (1) | 54930043XZGB27CTOV49 |
| c. Title of the issue or description of the investment. | TESLA INC |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | TSLA22 |
| Balance. (2) |
| a. Balance | -325.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -893750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.1133596904 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | TESLA INC |
| Title of issue. | TESLA INC |
| At least one of the following other identifiers: |
| - CUSIP. | 88160R101 |
| - ISIN (if CUSIP is not available). | US88160R1014 |
| - Ticker (if CUSIP and ISIN are not available). | TSLA |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B616C79 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 1500.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 1917404.7900000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Snap Inc |
| b. LEI (if any) of issuer. (1) | 549300JNC0L6VP8A2Q35 |
| c. Title of the issue or description of the investment. | Snap Inc |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SNAP22 |
| Balance. (2) |
| a. Balance | 2150.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1338375.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1697541546 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Snap Inc |
| Title of issue. | Snap Inc |
| At least one of the following other identifiers: |
| - CUSIP. | 83304A106 |
| - ISIN (if CUSIP is not available). | US83304A1060 |
| - Ticker (if CUSIP and ISIN are not available). | SNAP |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BD8DJ71 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 55.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -193363.9100000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Okta Inc |
| b. LEI (if any) of issuer. (1) | 549300N8J06I8MRHU620 |
| c. Title of the issue or description of the investment. | OKTA INC |
| d. CUSIP (if any). | 679295AF2 |
| At least one of the following other identifiers: |
| - ISIN | US679295AF24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDFX28 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4386270.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5563370174 |
| 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. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | OKTA INC | OKTA INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 679295105 | ||
| ISIN (if CUSIP is not available) | US6792951054 | ||
| Ticker (if CUSIP and ISIN are not available) | OKTA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BDFZSP1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 4.1912000000 | 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: 243 |
| a. Name of issuer (if any). | Omnicell Inc |
| b. LEI (if any) of issuer. (1) | 5493008RH0GTKHHPZI77 |
| c. Title of the issue or description of the investment. | OMNICELL INC |
| d. CUSIP (if any). | 68213NAD1 |
| At least one of the following other identifiers: |
| - ISIN | US68213NAD12 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN12D40 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14014050.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.7774862876 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | OMNICELL INC | OMNICELL INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 68213N109 | ||
| ISIN (if CUSIP is not available) | US68213N1090 | ||
| Ticker (if CUSIP and ISIN are not available) | OMCL | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2789523 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 10.2751000000 | 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: 244 |
| a. Name of issuer (if any). | Sea Ltd |
| b. LEI (if any) of issuer. (1) | 529900OM6JLLW44YKI15 |
| c. Title of the issue or description of the investment. | Sea Ltd |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SE2201 |
| Balance. (2) |
| a. Balance | 435.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 35887.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0045518276 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
SINGAPORE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| 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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Sea Ltd |
| Title of issue. | Sea Ltd |
| At least one of the following other identifiers: |
| - CUSIP. | 81141R100 |
| - ISIN (if CUSIP is not available). | US81141R1005 |
| - Ticker (if CUSIP and ISIN are not available). | SE |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BYWD7L4 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 200.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -1178947.6600000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sea Ltd |
| b. LEI (if any) of issuer. (1) | 529900OM6JLLW44YKI15 |
| c. Title of the issue or description of the investment. | Sea Ltd |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SE2201 |
| Balance. (2) |
| a. Balance | 435.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 180525.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0228970720 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
SINGAPORE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| 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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Sea Ltd |
| Title of issue. | Sea Ltd |
| At least one of the following other identifiers: |
| - CUSIP. | 81141R100 |
| - ISIN (if CUSIP is not available). | US81141R1005 |
| - Ticker (if CUSIP and ISIN are not available). | SE |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BYWD7L4 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 260.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -929610.1000000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ON Semiconductor Corp |
| b. LEI (if any) of issuer. (1) | ZV20P4CNJVT8V1ZGJ064 |
| c. Title of the issue or description of the investment. | ON SEMICONDUCTOR CORP |
| d. CUSIP (if any). | 682189AQ8 |
| At least one of the following other identifiers: |
| - ISIN | US682189AQ81 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL54B77 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 198000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 200991.7800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0254929969 |
| 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. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 247 |
| a. Name of issuer (if any). | OneMain Finance Corp |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | ONEMAIN FINANCE CORP |
| d. CUSIP (if any). | 682691AC4 |
| At least one of the following other identifiers: |
| - ISIN | US682691AC47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6L3Z9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 180000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 175849.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0223040122 |
| 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. | 2028-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 248 |
| a. Name of issuer (if any). | Open Text Corp |
| b. LEI (if any) of issuer. (1) | 549300HP7ONDQODZJV16 |
| c. Title of the issue or description of the investment. | OPEN TEXT CORP |
| d. CUSIP (if any). | 683715AC0 |
| At least one of the following other identifiers: |
| - ISIN | US683715AC05 |
| - Ticker (if ISIN is not available). | OTEX49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL5P749 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 204000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 205972.6800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0261247544 |
| 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. | 2028-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 249 |
| a. Name of issuer (if any). | Organon & Co / Organon Foreign Debt Co-Issuer BV |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ORGANON & CO/ORG |
| d. CUSIP (if any). | 68622TAA9 |
| At least one of the following other identifiers: |
| - ISIN | US68622TAA97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV1LQ8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 202940.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0257401013 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 250 |
| a. Name of issuer (if any). | Organon & Co / Organon Foreign Debt Co-Issuer BV |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ORGANON & CO/ORG |
| d. CUSIP (if any). | 68622TAB7 |
| At least one of the following other identifiers: |
| - ISIN | US68622TAB70 |
| - Ticker (if ISIN is not available). | MRK516 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV1L02 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 490000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 505954.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0641732410 |
| 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. | 2031-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 251 |
| a. Name of issuer (if any). | Owens-Brockway Glass Container Inc |
| b. LEI (if any) of issuer. (1) | V2UQUCDZJ9WY98W8QU33 |
| c. Title of the issue or description of the investment. | OWENS-BROCKWAY |
| d. CUSIP (if any). | 69073TAT0 |
| At least one of the following other identifiers: |
| - ISIN | US69073TAT07 |
| - Ticker (if ISIN is not available). | OI4984 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV7843 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 141098.7600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0178964048 |
| 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. | 2027-05-13 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 252 |
| a. Name of issuer (if any). | SPDR S&P 500 ETF Trust |
| b. LEI (if any) of issuer. (1) | 549300NZAMSJ8FXPQQ63 |
| c. Title of the issue or description of the investment. | SPDR S&P 500 ETF Trust |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SPY211 |
| Balance. (2) |
| a. Balance | 1000.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 308500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0391289113 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | SPDR S&P 500 ETF Trust |
| Title of issue. | SPDR S&P 500 ETF Trust |
| At least one of the following other identifiers: |
| - CUSIP. | 78462F103 |
| - ISIN (if CUSIP is not available). | US78462F1030 |
| - Ticker (if CUSIP and ISIN are not available). | SPY |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | 2840215 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 425.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2021-12-17 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -632564.2000000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Invesco QQQ Trust Series 1 |
| b. LEI (if any) of issuer. (1) | 549300VY6FEJBCIMET58 |
| c. Title of the issue or description of the investment. | Invesco QQQ Trust Series 1 |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | QQQ211 |
| Balance. (2) |
| a. Balance | 1200.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 289800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0367570778 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Invesco QQQ Trust Series 1 |
| Title of issue. | Invesco QQQ Trust Series 1 |
| At least one of the following other identifiers: |
| - CUSIP. | 46090E103 |
| - ISIN (if CUSIP is not available). | US46090E1038 |
| - Ticker (if CUSIP and ISIN are not available). | QQQ |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BDQYP67 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 350.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2021-12-17 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -593913.3600000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sea Ltd |
| b. LEI (if any) of issuer. (1) | 529900OM6JLLW44YKI15 |
| c. Title of the issue or description of the investment. | Sea Ltd |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SE2201 |
| Balance. (2) |
| a. Balance | 435.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 641625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0813811596 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
SINGAPORE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| 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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Sea Ltd |
| Title of issue. | Sea Ltd |
| At least one of the following other identifiers: |
| - CUSIP. | 81141R100 |
| - ISIN (if CUSIP is not available). | US81141R1005 |
| - Ticker (if CUSIP and ISIN are not available). | SE |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BYWD7L4 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 310.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -302339.0100000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sea Ltd |
| b. LEI (if any) of issuer. (1) | 529900OM6JLLW44YKI15 |
| c. Title of the issue or description of the investment. | Sea Ltd |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | SE2201 |
| Balance. (2) |
| a. Balance | -435.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -575287.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.0729671753 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
SINGAPORE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| 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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Sea Ltd |
| Title of issue. | Sea Ltd |
| At least one of the following other identifiers: |
| - CUSIP. | 81141R100 |
| - ISIN (if CUSIP is not available). | US81141R1005 |
| - Ticker (if CUSIP and ISIN are not available). | SE |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BYWD7L4 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 390.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 328188.8700000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PBF Holding Co LLC / PBF Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PBF HOLDING CO LLC |
| d. CUSIP (if any). | 69318FAG3 |
| At least one of the following other identifiers: |
| - ISIN | US69318FAG37 |
| - Ticker (if ISIN is not available). | PBFENE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2VZB1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 133000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 104381.0600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0132392779 |
| 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. | 7.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PGT Innovations Inc |
| b. LEI (if any) of issuer. (1) | 549300LRW9WM59C1S579 |
| c. Title of the issue or description of the investment. | PGT INNOVATIONS INC |
| d. CUSIP (if any). | 69336VAB7 |
| At least one of the following other identifiers: |
| - ISIN | US69336VAB71 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6VN80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129130.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0163783730 |
| 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. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 258 |
| a. Name of issuer (if any). | PTC Inc |
| b. LEI (if any) of issuer. (1) | 54930050SSMU8SKDJ030 |
| c. Title of the issue or description of the investment. | PTC INC |
| d. CUSIP (if any). | 69370CAC4 |
| At least one of the following other identifiers: |
| - ISIN | US69370CAC47 |
| - Ticker (if ISIN is not available). | PTC494 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLBL7C9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 187000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 190278.1100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0241341176 |
| 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. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pacira BioSciences Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PACIRA PHARMACEUTICALS |
| d. CUSIP (if any). | 695127AF7 |
| At least one of the following other identifiers: |
| - ISIN | US695127AF73 |
| - Ticker (if ISIN is not available). | PCRX52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNLYRZ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7388430.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9371190350 |
| 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. | 2025-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | PACIRA PHARMACEUTICALS | PACIRA PHARMACEUTICALS | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 695127100 | ||
| ISIN (if CUSIP is not available) | US6951271005 | ||
| Ticker (if CUSIP and ISIN are not available) | PCRX | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B3X26D8 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 13.9324000000 | 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: 260 |
| a. Name of issuer (if any). | Upstart Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300WNB47JRNENIC75 |
| c. Title of the issue or description of the investment. | Upstart Holdings Inc |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | UPST21 |
| Balance. (2) |
| a. Balance | 125.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 223750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0283795589 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Upstart Holdings Inc |
| Title of issue. | Upstart Holdings Inc |
| At least one of the following other identifiers: |
| - CUSIP. | 91680M107 |
| - ISIN (if CUSIP is not available). | US91680M1071 |
| - Ticker (if CUSIP and ISIN are not available). | UPST |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BL53QN5 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 300.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2021-11-19 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -172546.6800000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Repligen Corp |
| b. LEI (if any) of issuer. (1) | 54930006QJ0T5AUO1E71 |
| c. Title of the issue or description of the investment. | Repligen Corp |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | RGEN21 |
| Balance. (2) |
| a. Balance | 380.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 794200.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1007331649 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Repligen Corp |
| Title of issue. | Repligen Corp |
| At least one of the following other identifiers: |
| - CUSIP. | 759916109 |
| - ISIN (if CUSIP is not available). | US7599161095 |
| - Ticker (if CUSIP and ISIN are not available). | RGEN |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | 2731654 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 300.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2021-12-17 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 129083.3000000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Upstart Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300WNB47JRNENIC75 |
| c. Title of the issue or description of the investment. | Upstart Holdings Inc |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | UPST21 |
| Balance. (2) |
| a. Balance | 125.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 851875.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1080484322 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Upstart Holdings Inc |
| Title of issue. | Upstart Holdings Inc |
| At least one of the following other identifiers: |
| - CUSIP. | 91680M107 |
| - ISIN (if CUSIP is not available). | US91680M1071 |
| - Ticker (if CUSIP and ISIN are not available). | UPST |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BL53QN5 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 380.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2021-11-19 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 416373.6700000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Tesla Inc |
| b. LEI (if any) of issuer. (1) | 54930043XZGB27CTOV49 |
| c. Title of the issue or description of the investment. | Tesla Inc |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | TSLA21 |
| Balance. (2) |
| a. Balance | 225.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 77062.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0097743006 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Tesla Inc |
| Title of issue. | Tesla Inc |
| At least one of the following other identifiers: |
| - CUSIP. | 88160R101 |
| - ISIN (if CUSIP is not available). | US88160R1014 |
| - Ticker (if CUSIP and ISIN are not available). | TSLA |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B616C79 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 850.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2021-11-05 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -422726.7500000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Tesla Inc |
| b. LEI (if any) of issuer. (1) | 54930043XZGB27CTOV49 |
| c. Title of the issue or description of the investment. | Tesla Inc |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | TSLA22 |
| Balance. (2) |
| a. Balance | 225.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1525500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1934883443 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Tesla Inc |
| Title of issue. | Tesla Inc |
| At least one of the following other identifiers: |
| - CUSIP. | 88160R101 |
| - ISIN (if CUSIP is not available). | US88160R1014 |
| - Ticker (if CUSIP and ISIN are not available). | TSLA |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B616C79 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 1000.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -509322.9300000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Altice USA Inc |
| b. LEI (if any) of issuer. (1) | 54930064K3612MGCER95 |
| c. Title of the issue or description of the investment. | Altice USA Inc |
| d. CUSIP (if any). | N/A |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | ATUS22 |
| Balance. (2) |
| a. Balance | -24.0000000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -2940.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.0003728979 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
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 | The Options Clearing Corporation | 549300CII6SLYGKNHA04 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Altice USA Inc |
| Title of issue. | Altice USA Inc |
| At least one of the following other identifiers: |
| - CUSIP. | 02156K103 |
| - ISIN (if CUSIP is not available). | US02156K1034 |
| - Ticker (if CUSIP and ISIN are not available). | ATUS |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | BDRY7P9 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 100 |
| v. Exercise price or rate. | 15.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2022-01-21 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -348.5600000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Air Canada |
| b. LEI (if any) of issuer. (1) | 4B4HI3CGXMBDC0G6BM51 |
| c. Title of the issue or description of the investment. | AIR CANADA |
| d. CUSIP (if any). | C0102MAP0 |
| At least one of the following other identifiers: |
| - ISIN | XAC0102MAP05 |
| Balance. (2) |
| a. Balance | 170000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 172018.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0218181731 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-11 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Jazz Financing Lux Sarl |
| b. LEI (if any) of issuer. (1) | 635400WUEO2NSG5OIU34 |
| c. Title of the issue or description of the investment. | JAZZ FINANCING LUX SARL |
| d. CUSIP (if any). | G5080AAF9 |
| At least one of the following other identifiers: |
| - ISIN | XAG5080AAF93 |
| Balance. (2) |
| a. Balance | 423937.5000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 425050.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0539116923 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Padagis LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PADAGIS LLC |
| d. CUSIP (if any). | 69526PAC8 |
| At least one of the following other identifiers: |
| - ISIN | US69526PAC86 |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 300937.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0381697139 |
| 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. | 2028-07-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Palo Alto Networks Inc |
| b. LEI (if any) of issuer. (1) | 549300QXR2YVZV231H43 |
| c. Title of the issue or description of the investment. | PALO ALTO NETWORKS |
| d. CUSIP (if any). | 697435AD7 |
| At least one of the following other identifiers: |
| - ISIN | US697435AD78 |
| - Ticker (if ISIN is not available). | PANW48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJX8KR0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14466000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.8348098256 |
| 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. | 2023-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | PALO ALTO NETWORKS | PALO ALTO NETWORKS | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 697435105 | ||
| ISIN (if CUSIP is not available) | US6974351057 | ||
| Ticker (if CUSIP and ISIN are not available) | PANW | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B87ZMX0 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.7545000000 | 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: 270 |
| a. Name of issuer (if any). | Par Petroleum LLC / Par Petroleum Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PAR PETRO LLC / FIN CORP |
| d. CUSIP (if any). | 69889MAA0 |
| At least one of the following other identifiers: |
| - ISIN | US69889MAA09 |
| - Ticker (if ISIN is not available). | PARP45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD3MN37 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 244000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 246108.1600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0312153788 |
| 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. | 7.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Mcdermott International Ltd |
| b. LEI (if any) of issuer. (1) | 54930004RAXI4B3L4752 |
| c. Title of the issue or description of the investment. | MCDERMOTT INTERNATIONAL LTD |
| d. CUSIP (if any). | G5924V114 |
| At least one of the following other identifiers: |
| - ISIN | BMG5924V1147 |
| - Ticker (if ISIN is not available). | MCDTF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCX2X0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12170.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1.2200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000001547 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | MCDERMOTT INTERNATIONAL LTD | 54930004RAXI4B3L4752 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | MCDERMOTT INTERNATIONAL LTD |
| Title of issue. | MCDERMOTT INTERNATIONAL LTD |
| At least one of the following other identifiers: |
| - CUSIP. | G5924V114 |
| - Ticker (if CUSIP and ISIN are not available). | N/A |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 12170 |
| v. Exercise price or rate. | 0.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2027-06-30 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -2459.2600000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Mcdermott International Ltd |
| b. LEI (if any) of issuer. (1) | 54930004RAXI4B3L4752 |
| c. Title of the issue or description of the investment. | MCDERMOTT INTERNATIONAL LTD |
| d. CUSIP (if any). | G5924V122 |
| At least one of the following other identifiers: |
| - ISIN | BMG5924V1220 |
| - Ticker (if ISIN is not available). | MCDBF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCX2Y1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13522.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000001712 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Warrant
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | MCDERMOTT INTERNATIONAL LTD | 54930004RAXI4B3L4752 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | MCDERMOTT INTERNATIONAL LTD |
| Title of issue. | MCDERMOTT INTERNATIONAL LTD |
| At least one of the following other identifiers: |
| - CUSIP. | G5924V122 |
| - Ticker (if CUSIP and ISIN are not available). | N/A |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 13522 |
| v. Exercise price or rate. | 0.000000000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2027-06-30 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -2732.6900000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PARK INTERMED HOLDINGS |
| d. CUSIP (if any). | 70052LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US70052LAA17 |
| - Ticker (if ISIN is not available). | PKIH49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTCZG1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 161000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 171221.8900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0217171026 |
| 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. | 2025-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PARK INTERMED HOLDINGS |
| d. CUSIP (if any). | 70052LAB9 |
| At least one of the following other identifiers: |
| - ISIN | US70052LAB99 |
| - Ticker (if ISIN is not available). | PKIH50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGWP75 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 138763.6800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0176002325 |
| 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. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 275 |
| a. Name of issuer (if any). | Aptiv PLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | APTIV PLC |
| d. CUSIP (if any). | G6095L117 |
| At least one of the following other identifiers: |
| - ISIN | JE00BMHMX696 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHMX69 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 68935.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 13318242.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.6892327721 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-preferred
|
| 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. | 2023-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Camelot Finance SA |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CAMELOT FINANCE SA |
| d. CUSIP (if any). | L2000AAC4 |
| At least one of the following other identifiers: |
| - ISIN | XAL2000AAC44 |
| Balance. (2) |
| a. Balance | 329137.4300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 327779.7400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0415742768 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.088 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Parkland Corp |
| b. LEI (if any) of issuer. (1) | 549300XHQS1JYWBNK868 |
| c. Title of the issue or description of the investment. | PARKLAND CORP |
| d. CUSIP (if any). | 70137TAP0 |
| At least one of the following other identifiers: |
| - ISIN | US70137TAP03 |
| - Ticker (if ISIN is not available). | PKIUF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK60HG8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 205000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 216810.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0274993232 |
| 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. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 278 |
| a. Name of issuer (if any). | Patrick Industries Inc |
| b. LEI (if any) of issuer. (1) | 549300FZ5ZTCCJ3Z5W14 |
| c. Title of the issue or description of the investment. | PATRICK INDUSTRIES INC |
| d. CUSIP (if any). | 703343AD5 |
| At least one of the following other identifiers: |
| - ISIN | US703343AD59 |
| - Ticker (if ISIN is not available). | PATK51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF1LT7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 295000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 293710.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0372531144 |
| 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. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Peloton Interactive Inc |
| b. LEI (if any) of issuer. (1) | 5493002YS021166W0339 |
| c. Title of the issue or description of the investment. | PELOTON INTERACTIVE INC |
| d. CUSIP (if any). | 70614WAA8 |
| At least one of the following other identifiers: |
| - ISIN | US70614WAA80 |
| Balance. (2) |
| a. Balance | 260000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 232338.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0294689027 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | PELOTON INTERACTIVE INC | PELOTON INTERACTIVE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 70614W100 | ||
| ISIN (if CUSIP is not available) | US70614W1009 | ||
| Ticker (if CUSIP and ISIN are not available) | PTON | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BJ7WJS2 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 4.1800000000 | 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: 280 |
| a. Name of issuer (if any). | Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PENINSULA PACIFIC ENTERT |
| d. CUSIP (if any). | 70715XAA4 |
| At least one of the following other identifiers: |
| - ISIN | US70715XAA46 |
| - Ticker (if ISIN is not available). | PPEL50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXWRY9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 335000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 357823.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0453849140 |
| 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. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Penn National Gaming Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PENN NATIONAL GA |
| d. CUSIP (if any). | 707569AV1 |
| At least one of the following other identifiers: |
| - ISIN | US707569AV14 |
| - Ticker (if ISIN is not available). | PENN52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLNB404 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 299259.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0379569338 |
| 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. | 2029-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 282 |
| a. Name of issuer (if any). | Performance Food Group Inc |
| b. LEI (if any) of issuer. (1) | 549300OMUOGBYK0FFO76 |
| c. Title of the issue or description of the investment. | PERFORMANCE FOOD GROUP I |
| d. CUSIP (if any). | 71376LAE0 |
| At least one of the following other identifiers: |
| - ISIN | US71376LAE02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNHT925 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 261000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 261762.1200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0332008648 |
| 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. | 2029-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Camelot US Acquisition LLC |
| b. LEI (if any) of issuer. (1) | 549300U6VBJHQP2SFL81 |
| c. Title of the issue or description of the investment. | CAMELOT US ACQUISITION LLC |
| d. CUSIP (if any). | L2000AAD2 |
| At least one of the following other identifiers: |
| - ISIN | XAL2000AAD27 |
| Balance. (2) |
| a. Balance | 183612.5000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 184186.2900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0233614555 |
| 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. | 2026-10-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ICON Luxembourg Sarl |
| b. LEI (if any) of issuer. (1) | 635400PUWMHSPI2DDA35 |
| c. Title of the issue or description of the investment. | ICON LUXEMBOURG SARL |
| d. CUSIP (if any). | L5000DAC1 |
| At least one of the following other identifiers: |
| - ISIN | XAL5000DAC10 |
| Balance. (2) |
| a. Balance | 223591.9400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 223871.4300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0283949606 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PRA Health Sciences Inc |
| b. LEI (if any) of issuer. (1) | 549300R1HR1VWWHIAK47 |
| c. Title of the issue or description of the investment. | PRA HEALTH SCIENCES INC |
| d. CUSIP (if any). | L5000DAD9 |
| At least one of the following other identifiers: |
| - ISIN | XAL5000DAD92 |
| Balance. (2) |
| a. Balance | 55708.0600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 55777.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0070746213 |
| 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. | 2028-07-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Intelsat Jackson Holdings SA |
| b. LEI (if any) of issuer. (1) | 8XJ8KF85PBKK1TLMFN29 |
| c. Title of the issue or description of the investment. | INTELSAT JACKSON HLDG |
| d. CUSIP (if any). | L5137LAG0 |
| At least one of the following other identifiers: |
| - ISIN | XAL5137LAG04 |
| Balance. (2) |
| a. Balance | 508329.2000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 515547.4700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0653899878 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-01-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Intelsat Jackson Holdings SA |
| b. LEI (if any) of issuer. (1) | 8XJ8KF85PBKK1TLMFN29 |
| c. Title of the issue or description of the investment. | INTELSAT JACKSON HLDG |
| d. CUSIP (if any). | L5137LAH8 |
| At least one of the following other identifiers: |
| - ISIN | XAL5137LAH86 |
| Balance. (2) |
| a. Balance | 645600.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 655167.7900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0830988731 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-01-02 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 288 |
| a. Name of issuer (if any). | Mallinckrodt International Finance SA |
| b. LEI (if any) of issuer. (1) | 549300MQQ92LN1A0B514 |
| c. Title of the issue or description of the investment. | MALLINCKRODT INTERNATIONAL |
| d. CUSIP (if any). | L6232UAF4 |
| At least one of the following other identifiers: |
| - ISIN | XAL6232UAF48 |
| Balance. (2) |
| a. Balance | 279864.2600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 261303.6600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0331427155 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-09-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.500 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PetSmart LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PETSMART INC |
| d. CUSIP (if any). | 71677HAL9 |
| At least one of the following other identifiers: |
| - ISIN | US71677HAL96 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 71677HAL9 |
| Description of other unique identifier. | Internal ID |
| Balance. (2) |
| a. Balance | 538650.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 540045.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0684971696 |
| 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. | 2028-02-11 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Picasso Finance Sub Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PICASSO FINANCE SUB INC |
| d. CUSIP (if any). | 71953LAA9 |
| At least one of the following other identifiers: |
| - ISIN | US71953LAA98 |
| - Ticker (if ISIN is not available). | PCIS49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8BF47 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 59000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 62233.7900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0078934861 |
| 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. | 6.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 291 |
| a. Name of issuer (if any). | Pilgrim's Pride Corp |
| b. LEI (if any) of issuer. (1) | 549300ZSLGV64ZL3HD75 |
| c. Title of the issue or description of the investment. | PILGRIM'S PRIDE CORP |
| d. CUSIP (if any). | 72147KAE8 |
| At least one of the following other identifiers: |
| - ISIN | US72147KAE82 |
| - Ticker (if ISIN is not available). | JBSAY4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF0KZ32 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 421904.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0535126230 |
| 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. | 2027-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 292 |
| a. Name of issuer (if any). | Plains All American Pipeline LP |
| b. LEI (if any) of issuer. (1) | 5521FA2ITF25TVH63740 |
| c. Title of the issue or description of the investment. | PLAINS ALL AMERICAN PIPE |
| d. CUSIP (if any). | 726503AE5 |
| At least one of the following other identifiers: |
| - ISIN | US726503AE55 |
| - Ticker (if ISIN is not available). | PAA455 |
| - 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 | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245211.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0311016247 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 6.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 293 |
| a. Name of issuer (if any). | Playtika Holding Corp |
| b. LEI (if any) of issuer. (1) | 254900E35Z4TKA4UFG64 |
| c. Title of the issue or description of the investment. | PLAYTIKA HOLDING CORP |
| d. CUSIP (if any). | 72815LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US72815LAA52 |
| - Ticker (if ISIN is not available). | PLTK51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYCMB0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130461.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0165472171 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ISRAEL
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| 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. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Post Holdings Inc |
| b. LEI (if any) of issuer. (1) | JM1I5YUAURL6DC8N1468 |
| c. Title of the issue or description of the investment. | POST HOLDINGS INC |
| d. CUSIP (if any). | 737446AM6 |
| At least one of the following other identifiers: |
| - ISIN | US737446AM60 |
| - Ticker (if ISIN is not available). | POST |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYNHPV1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 325000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 337496.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0428066802 |
| 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. | 2027-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PREMIER ENTERTAINMENT SU |
| d. CUSIP (if any). | 74052HAA2 |
| At least one of the following other identifiers: |
| - ISIN | US74052HAA23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2ZJ73 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 306147.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0388304662 |
| 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. | 2029-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 296 |
| a. Name of issuer (if any). | Prestige Brands Inc |
| b. LEI (if any) of issuer. (1) | 549300JBVP4J6D42I235 |
| c. Title of the issue or description of the investment. | PRESTIGE BRANDS INC |
| d. CUSIP (if any). | 74112BAM7 |
| At least one of the following other identifiers: |
| - ISIN | US74112BAM72 |
| - Ticker (if ISIN is not available). | PBH513 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMT9FM8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 252000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 243857.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0309299623 |
| 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. | 2031-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Prospect Capital Corp |
| b. LEI (if any) of issuer. (1) | 549300FSD8T39P5Q0O47 |
| c. Title of the issue or description of the investment. | PROSPECT CAPITAL CORP |
| d. CUSIP (if any). | 74348TAU6 |
| At least one of the following other identifiers: |
| - ISIN | US74348TAU60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYC6W9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 305340.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0387281095 |
| 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. | 2026-01-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.706 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| - Ticker (if ISIN is not available). | QRTEA5 |
| - 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 | 275000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 281490.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0357030705 |
| 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. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 299 |
| a. Name of issuer (if any). | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ROCKETMTGE C0-ISSUER INC |
| d. CUSIP (if any). | 74841CAA9 |
| At least one of the following other identifiers: |
| - ISIN | US74841CAA99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7NDB4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 124418.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0157807787 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 300 |
| a. Name of issuer (if any). | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ROCKETMTGE C0-ISSUER INC |
| d. CUSIP (if any). | 74841CAB7 |
| At least one of the following other identifiers: |
| - ISIN | US74841CAB72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7RYH9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 120000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 118692.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0150544206 |
| 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. | 2031-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 301 |
| a. Name of issuer (if any). | RHP Hotel Properties LP / RHP Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RHP HOTEL PPTY/RHP FINAN |
| d. CUSIP (if any). | 749571AG0 |
| At least one of the following other identifiers: |
| - ISIN | US749571AG03 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXXQ67 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 298758.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0378932748 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RLJ Lodging Trust LP |
| b. LEI (if any) of issuer. (1) | 549300RX5I8Z6I6LDZ74 |
| c. Title of the issue or description of the investment. | RLJ LODGING TRUST LP |
| d. CUSIP (if any). | 74965LAA9 |
| At least one of the following other identifiers: |
| - ISIN | US74965LAA98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6DC34 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 197131.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0250033553 |
| 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. | 2026-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RLJ Lodging Trust LP |
| b. LEI (if any) of issuer. (1) | 549300RX5I8Z6I6LDZ74 |
| c. Title of the issue or description of the investment. | RLJ LODGING TRUST LP |
| d. CUSIP (if any). | 74965LAB7 |
| At least one of the following other identifiers: |
| - ISIN | US74965LAB71 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNXHZ81 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131871.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0167261142 |
| 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. | 2029-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RH |
| b. LEI (if any) of issuer. (1) | 5493008MTS3OGGMHGK69 |
| c. Title of the issue or description of the investment. | RH |
| d. CUSIP (if any). | 74967XAD5 |
| At least one of the following other identifiers: |
| - ISIN | US74967XAD57 |
| - Ticker (if ISIN is not available). | RH5152 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZ3GP4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12468760.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5814878585 |
| 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. | 2024-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | RH | RH | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 74967X103 | ||
| ISIN (if CUSIP is not available) | US74967X1037 | ||
| Ticker (if CUSIP and ISIN are not available) | RH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BYXR425 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 4.7304000000 | 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: 305 |
| a. Name of issuer (if any). | Radian Group Inc |
| b. LEI (if any) of issuer. (1) | 54930005OUP720S5U385 |
| c. Title of the issue or description of the investment. | RADIAN GROUP INC |
| d. CUSIP (if any). | 750236AW1 |
| At least one of the following other identifiers: |
| - ISIN | US750236AW16 |
| - Ticker (if ISIN is not available). | RDN484 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJQ3RC6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 376726.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0477824508 |
| 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. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 306 |
| a. Name of issuer (if any). | Realogy Group LLC / Realogy Co-Issuer Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | REALOGY GROUP/CO-ISSUER |
| d. CUSIP (if any). | 75606DAN1 |
| At least one of the following other identifiers: |
| - ISIN | US75606DAN12 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8H3Q3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4835310.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6132914626 |
| 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. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | REALOGY GROUP/CO-ISSUER | REALOGY GROUP/CO-ISSUER | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 75605Y106 | ||
| ISIN (if CUSIP is not available) | US75605Y1064 | ||
| Ticker (if CUSIP and ISIN are not available) | RLGY | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B5T0CW1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 40.8397000000 | 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: 307 |
| a. Name of issuer (if any). | Redfin Corp |
| b. LEI (if any) of issuer. (1) | 549300HXWD3JEMZU3O57 |
| c. Title of the issue or description of the investment. | REDFIN CORP |
| d. CUSIP (if any). | 75737FAC2 |
| At least one of the following other identifiers: |
| - ISIN | US75737FAC23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNBQZM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2559000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2610640.6200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3311232587 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | REDFIN CORP | REDFIN CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 75737F108 | ||
| ISIN (if CUSIP is not available) | US75737F1084 | ||
| Ticker (if CUSIP and ISIN are not available) | RDFN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BF1BDQ3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 13.7920000000 | 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: 308 |
| a. Name of issuer (if any). | LifePoint Health Inc |
| b. LEI (if any) of issuer. (1) | 549300G8ZVHRTBBBSZ90 |
| c. Title of the issue or description of the investment. | LIFEPOINT HEALTH INC |
| d. CUSIP (if any). | 75915TAD4 |
| At least one of the following other identifiers: |
| - ISIN | US75915TAD46 |
| Balance. (2) |
| a. Balance | 189807.3700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 189579.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0240455214 |
| 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. | 2025-11-16 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.839 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Repligen Corp |
| b. LEI (if any) of issuer. (1) | 54930006QJ0T5AUO1E71 |
| c. Title of the issue or description of the investment. | REPLIGEN CORP |
| d. CUSIP (if any). | 759916AB5 |
| At least one of the following other identifiers: |
| - ISIN | US759916AB50 |
| - Ticker (if ISIN is not available). | RGEN48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV2R06 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5741000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14592760.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.8508876670 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | REPLIGEN CORP | REPLIGEN CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 759916109 | ||
| ISIN (if CUSIP is not available) | US7599161095 | ||
| Ticker (if CUSIP and ISIN are not available) | RGEN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2731654 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 8.6749000000 | 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: 310 |
| a. Name of issuer (if any). | Rent-A-Center Inc/TX |
| b. LEI (if any) of issuer. (1) | 529900QUHE15UQNCCJ63 |
| c. Title of the issue or description of the investment. | RENT-A-CENTER INC |
| d. CUSIP (if any). | 76009WAW0 |
| At least one of the following other identifiers: |
| - ISIN | US76009WAW01 |
| Balance. (2) |
| a. Balance | 309818.8100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 311271.8600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0394804830 |
| 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. | 2028-02-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Repay Holdings Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | REPAY HOLDINGS |
| d. CUSIP (if any). | 76029LAA8 |
| At least one of the following other identifiers: |
| - ISIN | US76029LAA89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVHKC5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9051217.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1480203790 |
| 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. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | REPAY HOLDINGS | REPAY HOLDINGS | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 76029L100 | ||
| ISIN (if CUSIP is not available) | US76029L1008 | ||
| Ticker (if CUSIP and ISIN are not available) | RPAY | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BK5TLP3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 29.7619000000 | 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: 312 |
| a. Name of issuer (if any). | Pactiv Evergreen Group Issuer Inc/Pactiv Evergreen Group Issuer LLC/Reynolds Gro |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PACTIV EVERGREEN GROUP |
| d. CUSIP (if any). | 76174LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US76174LAA17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLTTQ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 303707.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0385209863 |
| 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. | 2027-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RingCentral Inc |
| b. LEI (if any) of issuer. (1) | 549300C8EH0H1614VE84 |
| c. Title of the issue or description of the investment. | RINGCENTRAL INC |
| d. CUSIP (if any). | 76680RAF4 |
| At least one of the following other identifiers: |
| - ISIN | US76680RAF47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN92KR4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3519393.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4463857913 |
| 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. | 2025-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | RINGCENTRAL INC | RINGCENTRAL INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 76680R206 | ||
| ISIN (if CUSIP is not available) | US76680R2067 | ||
| Ticker (if CUSIP and ISIN are not available) | RNG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BDZCRX3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.7745000000 | 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: 314 |
| a. Name of issuer (if any). | RingCentral Inc |
| b. LEI (if any) of issuer. (1) | 549300C8EH0H1614VE84 |
| c. Title of the issue or description of the investment. | RINGCENTRAL INC |
| d. CUSIP (if any). | 76680RAH0 |
| At least one of the following other identifiers: |
| - ISIN | US76680RAH03 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6SYQ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3825000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3731899.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4733392694 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | RINGCENTRAL INC | RINGCENTRAL INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 76680R206 | ||
| ISIN (if CUSIP is not available) | US76680R2067 | ||
| Ticker (if CUSIP and ISIN are not available) | RNG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BDZCRX3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.3583000000 | 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: 315 |
| a. Name of issuer (if any). | Rite Aid Corp |
| b. LEI (if any) of issuer. (1) | 529900W353T1JY1DKT44 |
| c. Title of the issue or description of the investment. | RITE AID CORP |
| d. CUSIP (if any). | 767754CL6 |
| At least one of the following other identifiers: |
| - ISIN | US767754CL62 |
| - Ticker (if ISIN is not available). | RAD502 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLD9W5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 659000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 666571.9100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0845453263 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Rockcliff Energy II LLC |
| b. LEI (if any) of issuer. (1) | 5493007AZNVKZ5HEMT23 |
| c. Title of the issue or description of the investment. | ROCKCLIFF ENERGY II LLC |
| d. CUSIP (if any). | 77289KAA3 |
| At least one of the following other identifiers: |
| - ISIN | US77289KAA34 |
| - Ticker (if ISIN is not available). | RCKE52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP48640 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 106000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 109180.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0138479564 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ROCKETMTGE C0-ISSUER INC |
| d. CUSIP (if any). | 77313LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US77313LAA17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP815Z9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64567.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0081894338 |
| 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. | 2026-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 318 |
| a. Name of issuer (if any). | Royal Caribbean Cruises Ltd |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES |
| d. CUSIP (if any). | 780153AY8 |
| At least one of the following other identifiers: |
| - ISIN | US780153AY85 |
| - Ticker (if ISIN is not available). | RCL498 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFMWL9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 72814.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0092354758 |
| 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. | 2023-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 319 |
| a. Name of issuer (if any). | Royal Caribbean Cruises Ltd |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES |
| d. CUSIP (if any). | 780153AZ5 |
| At least one of the following other identifiers: |
| - ISIN | US780153AZ50 |
| - Ticker (if ISIN is not available). | RCL498 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFMWD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 78000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 88902.0600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0112759832 |
| 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. | 2025-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Royal Caribbean Cruises Ltd |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES |
| d. CUSIP (if any). | 780153BB7 |
| At least one of the following other identifiers: |
| - ISIN | US780153BB73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2TYF8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 18211635.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.3098912511 |
| 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. | 2023-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ROYAL CARIBBEAN CRUISES | ROYAL CARIBBEAN CRUISES | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | V7780T103 | ||
| ISIN (if CUSIP is not available) | LR0008862868 | ||
| Ticker (if CUSIP and ISIN are not available) | RCL | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2754907 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 13.8672000000 | 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: 321 |
| a. Name of issuer (if any). | SLM Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SLM CORP |
| d. CUSIP (if any). | 78442PGD2 |
| At least one of the following other identifiers: |
| - ISIN | US78442PGD24 |
| - Ticker (if ISIN is not available). | SLM506 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBJZQ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 166000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 175686.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0222833252 |
| 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. | 2025-10-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.200 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Scientific Games International Inc |
| b. LEI (if any) of issuer. (1) | RLTHESQ0RNFQJWPBJN60 |
| c. Title of the issue or description of the investment. | SCIENTIFIC GAMES INTERNA |
| d. CUSIP (if any). | 80874YAW0 |
| At least one of the following other identifiers: |
| - ISIN | US80874YAW03 |
| - Ticker (if ISIN is not available). | SGMS45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF032H4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 216535.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0274644624 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Scientific Games International Inc |
| b. LEI (if any) of issuer. (1) | RLTHESQ0RNFQJWPBJN60 |
| c. Title of the issue or description of the investment. | SCIENTIFIC GAMES INTERNATIO |
| d. CUSIP (if any). | 80875AAP6 |
| At least one of the following other identifiers: |
| - ISIN | US80875AAP66 |
| Balance. (2) |
| a. Balance | 441984.7200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 440753.7900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0559034553 |
| 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. | 2024-08-14 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.836 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Scripps Escrow Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SCRIPPS ESCROW INC |
| d. CUSIP (if any). | 81104PAA7 |
| At least one of the following other identifiers: |
| - ISIN | US81104PAA75 |
| - Ticker (if ISIN is not available). | SSP485 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9NGK4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 490000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 500628.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0634976743 |
| 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. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 325 |
| a. Name of issuer (if any). | Scripps Escrow II Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SCRIPPS ESCROW II INC |
| d. CUSIP (if any). | 81105DAA3 |
| At least one of the following other identifiers: |
| - ISIN | US81105DAA37 |
| - Ticker (if ISIN is not available). | SSP509 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB5SQ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 136070.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0172586682 |
| 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. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 326 |
| a. Name of issuer (if any). | Scripps Escrow II Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SCRIPPS ESCROW II INC |
| d. CUSIP (if any). | 81105DAB1 |
| At least one of the following other identifiers: |
| - ISIN | US81105DAB10 |
| - Ticker (if ISIN is not available). | SSP509 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9XR35 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 68000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66813.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084743456 |
| 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. | 2031-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 327 |
| a. Name of issuer (if any). | Sea Ltd |
| b. LEI (if any) of issuer. (1) | 529900OM6JLLW44YKI15 |
| c. Title of the issue or description of the investment. | SEA LTD |
| d. CUSIP (if any). | 81141RAF7 |
| At least one of the following other identifiers: |
| - ISIN | US81141RAF73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTZVX6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 15264520.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.9360909221 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
SINGAPORE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | SEA LTD | SEA LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 81141R100 | ||
| ISIN (if CUSIP is not available) | US81141R1005 | ||
| Ticker (if CUSIP and ISIN are not available) | SE | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BYWD7L4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 11.0549000000 | 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: 328 |
| a. Name of issuer (if any). | Sensata Technologies Inc |
| b. LEI (if any) of issuer. (1) | 5493002MMDDCUNV7NY90 |
| c. Title of the issue or description of the investment. | SENSATA TECHNOLOGIES INC |
| d. CUSIP (if any). | 81728UAB0 |
| At least one of the following other identifiers: |
| - ISIN | US81728UAB08 |
| - Ticker (if ISIN is not available). | ST5025 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD7L86 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 247000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 244599.1600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0310239833 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Shake Shack Inc |
| b. LEI (if any) of issuer. (1) | 529900J74GJAHYP80N79 |
| c. Title of the issue or description of the investment. | SHAKE SHACK INC |
| d. CUSIP (if any). | 819047AA9 |
| At least one of the following other identifiers: |
| - ISIN | US819047AA97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKQMYM9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4106150.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5208077122 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SHAKE SHACK INC | SHAKE SHACK INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 819047101 | ||
| ISIN (if CUSIP is not available) | US8190471016 | ||
| Ticker (if CUSIP and ISIN are not available) | SHAK | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BV0LCR0 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 5.8679000000 | 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: 330 |
| a. Name of issuer (if any). | Shift4 Payments Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SHIFT4 PAYMENTS INC |
| d. CUSIP (if any). | 82452JAA7 |
| At least one of the following other identifiers: |
| - ISIN | US82452JAA79 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNGSN4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 13012320.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.6504308440 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SHIFT4 PAYMENTS INC | SHIFT4 PAYMENTS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 82452J109 | ||
| ISIN (if CUSIP is not available) | US82452J1097 | ||
| Ticker (if CUSIP and ISIN are not available) | FOUR | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BLF0L75 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 12.4262000000 | 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: 331 |
| a. Name of issuer (if any). | Shift4 Payments Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SHIFT4 PAYMENTS INC |
| d. CUSIP (if any). | 82452JAC3 |
| At least one of the following other identifiers: |
| - ISIN | US82452JAC36 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN72VC8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 121085.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0153580533 |
| 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. | 2027-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SHIFT4 PAYMENTS INC | SHIFT4 PAYMENTS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 82452J109 | ||
| ISIN (if CUSIP is not available) | US82452J1097 | ||
| Ticker (if CUSIP and ISIN are not available) | FOUR | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BLF0L75 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 8.1524000000 | 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: 332 |
| a. Name of issuer (if any). | Shift4 Payments LLC / Shift4 Payments Finance Sub Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SHIFT4 PAYMENTS LLC/FIN |
| d. CUSIP (if any). | 82453AAA5 |
| At least one of the following other identifiers: |
| - ISIN | US82453AAA51 |
| - Ticker (if ISIN is not available). | FOUR50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV3Y32 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 141543.3600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0179527961 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 333 |
| a. Name of issuer (if any). | Silicon Laboratories Inc |
| b. LEI (if any) of issuer. (1) | 4PRDF8Q9TDHRVZKZSZ47 |
| c. Title of the issue or description of the investment. | SILICON LABORATORIES INC |
| d. CUSIP (if any). | 826919AD4 |
| At least one of the following other identifiers: |
| - ISIN | US826919AD45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9CNC3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10854607.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.3767551842 |
| 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. | 0.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | SILICON LABORATORIES INC | SILICON LABORATORIES INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 826919102 | ||
| ISIN (if CUSIP is not available) | US8269191024 | ||
| Ticker (if CUSIP and ISIN are not available) | SLAB | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2568131 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 8.1498000000 | 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: 334 |
| a. Name of issuer (if any). | Silgan Holdings Inc |
| b. LEI (if any) of issuer. (1) | KAF673KJXD92C8KSLU49 |
| c. Title of the issue or description of the investment. | SILGAN HOLDINGS INC |
| d. CUSIP (if any). | 827048AV1 |
| At least one of the following other identifiers: |
| - ISIN | US827048AV11 |
| - Ticker (if ISIN is not available). | SLGN50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2XL71 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 310895.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0394327660 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 335 |
| a. Name of issuer (if any). | Sinclair Television Group Inc |
| b. LEI (if any) of issuer. (1) | 549300CQGEN0CH65UD62 |
| c. Title of the issue or description of the investment. | SINCLAIR TELEVISION GROU |
| d. CUSIP (if any). | 829259BA7 |
| At least one of the following other identifiers: |
| - ISIN | US829259BA72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDX270 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129992.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0164877792 |
| 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. | 2030-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 336 |
| a. Name of issuer (if any). | Sirius XM Radio Inc |
| b. LEI (if any) of issuer. (1) | WP5O65E6BMU84LNO4227 |
| c. Title of the issue or description of the investment. | SIRIUS XM RADIO INC |
| d. CUSIP (if any). | 82967NBJ6 |
| At least one of the following other identifiers: |
| - ISIN | US82967NBJ63 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBJVY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 201000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 202595.9400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0256964621 |
| 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. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sirius XM Radio Inc |
| b. LEI (if any) of issuer. (1) | WP5O65E6BMU84LNO4227 |
| c. Title of the issue or description of the investment. | SIRIUS XM RADIO INC |
| d. CUSIP (if any). | 82967NBL1 |
| At least one of the following other identifiers: |
| - ISIN | US82967NBL10 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9SCZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130426.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0165427651 |
| 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. | 3.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 338 |
| a. Name of issuer (if any). | Sirius XM Radio Inc |
| b. LEI (if any) of issuer. (1) | WP5O65E6BMU84LNO4227 |
| c. Title of the issue or description of the investment. | SIRIUS XM RADIO INC |
| d. CUSIP (if any). | 82967NBM9 |
| At least one of the following other identifiers: |
| - ISIN | US82967NBM92 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9SD09 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 62543.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0079327875 |
| 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. | 2031-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 339 |
| a. Name of issuer (if any). | Delta Air Lines Inc / SkyMiles IP Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELTA AIR LINES/SKYMILES |
| d. CUSIP (if any). | 830867AA5 |
| At least one of the following other identifiers: |
| - ISIN | US830867AA59 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMT6SM0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 34000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 36361.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0046120087 |
| 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. | 2025-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Delta Air Lines Inc / SkyMiles IP Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELTA AIR LINES/SKYMILES |
| d. CUSIP (if any). | 830867AB3 |
| At least one of the following other identifiers: |
| - ISIN | US830867AB33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMT8BV6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 68000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 75628.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0095924710 |
| 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. | 2028-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Snap Inc |
| b. LEI (if any) of issuer. (1) | 549300JNC0L6VP8A2Q35 |
| c. Title of the issue or description of the investment. | SNAP INC |
| d. CUSIP (if any). | 83304AAB2 |
| At least one of the following other identifiers: |
| - ISIN | US83304AAB26 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGR5D6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11953000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5160709142 |
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SNAP INC | SNAP INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 83304A106 | ||
| ISIN (if CUSIP is not available) | US83304A1060 | ||
| Ticker (if CUSIP and ISIN are not available) | SNAP | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD8DJ71 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 43.8481000000 | 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: 342 |
| a. Name of issuer (if any). | Snap Inc |
| b. LEI (if any) of issuer. (1) | 549300JNC0L6VP8A2Q35 |
| c. Title of the issue or description of the investment. | SNAP INC |
| d. CUSIP (if any). | 83304AAE6 |
| At least one of the following other identifiers: |
| - ISIN | US83304AAE64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6K7Y3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10141800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.2863455198 |
| 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. | 2027-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SNAP INC | SNAP INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 83304A106 | ||
| ISIN (if CUSIP is not available) | US83304A1060 | ||
| Ticker (if CUSIP and ISIN are not available) | SNAP | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD8DJ71 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 11.2042000000 | 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: 343 |
| a. Name of issuer (if any). | Sonic Automotive Inc |
| b. LEI (if any) of issuer. (1) | 549300NTLRGJ2JCBZU03 |
| c. Title of the issue or description of the investment. | SONIC AUTOMOTIVE INC |
| d. CUSIP (if any). | 83545GBD3 |
| At least one of the following other identifiers: |
| - ISIN | US83545GBD34 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVY272 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 163000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 163585.1700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0207484914 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 344 |
| a. Name of issuer (if any). | Southwest Airlines Co |
| b. LEI (if any) of issuer. (1) | UDTZ87G0STFETI6HGH41 |
| c. Title of the issue or description of the investment. | SOUTHWEST AIRLINES CO |
| d. CUSIP (if any). | 844741BG2 |
| At least one of the following other identifiers: |
| - ISIN | US844741BG22 |
| - Ticker (if ISIN is not available). | LUV498 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKP33Y8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11955165.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5163455142 |
| 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. | 1.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SOUTHWEST AIRLINES CO | SOUTHWEST AIRLINES CO | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 844741108 | ||
| ISIN (if CUSIP is not available) | US8447411088 | ||
| Ticker (if CUSIP and ISIN are not available) | LUV | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2831543 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 25.9909000000 | 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: 345 |
| a. Name of issuer (if any). | American Finance Trust Inc / American Finance Operating Partner LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AMERICAN FIN TR/FINAN OP |
| d. CUSIP (if any). | 02608AAA7 |
| At least one of the following other identifiers: |
| - ISIN | US02608AAA79 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPBRT30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 300387.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0380998907 |
| 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. | 2028-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 346 |
| a. Name of issuer (if any). | Amneal Pharmaceuticals LLC |
| b. LEI (if any) of issuer. (1) | 54930037VIXE7LRZ1M66 |
| c. Title of the issue or description of the investment. | AMNEAL PHARMACEUTICALS LLC |
| d. CUSIP (if any). | 03167DAH7 |
| At least one of the following other identifiers: |
| - ISIN | US03167DAH70 |
| Balance. (2) |
| a. Balance | 673458.5900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 668761.2200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0848230096 |
| 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. | 2025-05-04 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.632 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 347 |
| a. Name of issuer (if any). | Spanish Broadcasting System Inc |
| b. LEI (if any) of issuer. (1) | 5493005DKYB1X4C9LH64 |
| c. Title of the issue or description of the investment. | SPANISH BROADCASTING SYS |
| d. CUSIP (if any). | 846425AQ9 |
| At least one of the following other identifiers: |
| - ISIN | US846425AQ94 |
| - Ticker (if ISIN is not available). | SBSA51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZ0HQ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 204480.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0259355430 |
| 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. | 9.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 348 |
| a. Name of issuer (if any). | Speedway Motorsports LLC / Speedway Funding II Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SPEEDWAY MOT/SPEEDWAY FD |
| d. CUSIP (if any). | 84779MAA2 |
| At least one of the following other identifiers: |
| - ISIN | US84779MAA27 |
| - Ticker (if ISIN is not available). | TRK489 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKZ7N51 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 352693.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0447342389 |
| 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. | 2027-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 349 |
| a. Name of issuer (if any). | AmWINS Group Inc |
| b. LEI (if any) of issuer. (1) | 549300SJE7MUB8NMRG61 |
| c. Title of the issue or description of the investment. | AMWINS GROUP INC |
| d. CUSIP (if any). | 031921AB5 |
| At least one of the following other identifiers: |
| - ISIN | US031921AB57 |
| - Ticker (if ISIN is not available). | AWNS52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNW02Z7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 533000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 531923.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0674670379 |
| 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. | 2029-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 350 |
| a. Name of issuer (if any). | Antero Resources Corp |
| b. LEI (if any) of issuer. (1) | APVBKPOULHUX7YZLKU17 |
| c. Title of the issue or description of the investment. | ANTERO RESOURCES CORP |
| d. CUSIP (if any). | 03674XAQ9 |
| At least one of the following other identifiers: |
| - ISIN | US03674XAQ97 |
| - Ticker (if ISIN is not available). | AR5109 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8NG06 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 84000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 93130.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0118123398 |
| 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. | 7.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 351 |
| a. Name of issuer (if any). | Antero Resources Corp |
| b. LEI (if any) of issuer. (1) | APVBKPOULHUX7YZLKU17 |
| c. Title of the issue or description of the investment. | ANTERO RESOURCES CORP |
| d. CUSIP (if any). | 03674XAS5 |
| At least one of the following other identifiers: |
| - ISIN | US03674XAS53 |
| - Ticker (if ISIN is not available). | AR5186 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNDYF04 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 68910.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0087403207 |
| 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. | 2030-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 352 |
| a. Name of issuer (if any). | Apache Corp |
| b. LEI (if any) of issuer. (1) | 72ZZ1XRHOOU9P9X16K08 |
| c. Title of the issue or description of the investment. | APACHE CORP |
| d. CUSIP (if any). | 037411AW5 |
| At least one of the following other identifiers: |
| - ISIN | US037411AW56 |
| - Ticker (if ISIN is not available). | APA.GS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B58CQJ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 268000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 300564.6800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0381224269 |
| 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. | 2040-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.100 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 353 |
| a. Name of issuer (if any). | Apache Corp |
| b. LEI (if any) of issuer. (1) | 72ZZ1XRHOOU9P9X16K08 |
| c. Title of the issue or description of the investment. | APACHE CORP |
| d. CUSIP (if any). | 037411BH7 |
| At least one of the following other identifiers: |
| - ISIN | US037411BH70 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD7VD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 134000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 144508.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0183288547 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 354 |
| a. Name of issuer (if any). | ChampionX Corp |
| b. LEI (if any) of issuer. (1) | 549300EP2909K6DYYP38 |
| c. Title of the issue or description of the investment. | CHAMPIONX CORP |
| d. CUSIP (if any). | 03755LAC8 |
| At least one of the following other identifiers: |
| - ISIN | US03755LAC81 |
| - Ticker (if ISIN is not available). | APYW46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDTYGH2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 104673.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0132763064 |
| 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. | 6.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 355 |
| a. Name of issuer (if any). | ArcelorMittal SA |
| b. LEI (if any) of issuer. (1) | 2EULGUTUI56JI9SAL165 |
| c. Title of the issue or description of the investment. | ARCELORMITTAL |
| d. CUSIP (if any). | 03938LAP9 |
| At least one of the following other identifiers: |
| - ISIN | US03938LAP94 |
| - Ticker (if ISIN is not available). | MT.AI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFLRCV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 195470.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0247927378 |
| 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. | 2039-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 356 |
| a. Name of issuer (if any). | Arcosa Inc |
| b. LEI (if any) of issuer. (1) | 549300WFHLTCZV7D6V29 |
| c. Title of the issue or description of the investment. | ARCOSA INC |
| d. CUSIP (if any). | 039653AA8 |
| At least one of the following other identifiers: |
| - ISIN | US039653AA89 |
| - Ticker (if ISIN is not available). | ACA516 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKH1X1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 146000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 148842.6200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0188786051 |
| 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. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 357 |
| a. Name of issuer (if any). | Arrow Bidco LLC |
| b. LEI (if any) of issuer. (1) | 549300YHZN08M0H3O128 |
| c. Title of the issue or description of the investment. | ARROW BIDCO LLC |
| d. CUSIP (if any). | 042728AA3 |
| At least one of the following other identifiers: |
| - ISIN | US042728AA35 |
| - Ticker (if ISIN is not available). | ARWB48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJL1112 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 415000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 424055.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0537854853 |
| 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. | 2024-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 358 |
| a. Name of issuer (if any). | Ashtead Capital Inc |
| b. LEI (if any) of issuer. (1) | 213800J1134IW58IC398 |
| c. Title of the issue or description of the investment. | ASHTEAD CAPITAL INC |
| d. CUSIP (if any). | 045054AJ2 |
| At least one of the following other identifiers: |
| - ISIN | US045054AJ25 |
| - Ticker (if ISIN is not available). | ASHT49 |
| Balance. (2) |
| a. Balance | 275000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 290056.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0367895795 |
| 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. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 359 |
| a. Name of issuer (if any). | Ashton Woods USA LLC / Ashton Woods Finance Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ASHTON WOODS USA/FINANCE |
| d. CUSIP (if any). | 045086AK1 |
| At least one of the following other identifiers: |
| - ISIN | US045086AK16 |
| - Ticker (if ISIN is not available). | ASWD49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKBHX4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 204000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 217168.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0275447496 |
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 360 |
| a. Name of issuer (if any). | Ashton Woods USA LLC / Ashton Woods Finance Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ASHTON WOODS USA/FINANCE |
| d. CUSIP (if any). | 045086AM7 |
| At least one of the following other identifiers: |
| - ISIN | US045086AM71 |
| - Ticker (if ISIN is not available). | ASWD52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD9BV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 163000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 162825.5900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0206521493 |
| 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. | 2029-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 361 |
| a. Name of issuer (if any). | Ashton Woods USA LLC / Ashton Woods Finance Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ASHTON WOODS USA/FINANCE |
| d. CUSIP (if any). | 045086AP0 |
| At least one of the following other identifiers: |
| - ISIN | US045086AP03 |
| - Ticker (if ISIN is not available). | ASWD52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNSLTZ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64303.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0081559618 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 362 |
| a. Name of issuer (if any). | AssuredPartners Inc |
| b. LEI (if any) of issuer. (1) | 549300HNDSDQWQ3L2P80 |
| c. Title of the issue or description of the investment. | ASSUREDPARTNERS INC |
| d. CUSIP (if any). | 04624VAA7 |
| At least one of the following other identifiers: |
| - ISIN | US04624VAA70 |
| - Ticker (if ISIN is not available). | ASUE45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDFGDP9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 635000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 644137.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0816998541 |
| 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. | 7.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 363 |
| a. Name of issuer (if any). | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SPIRIT LOYALTY KY LTD/IP |
| d. CUSIP (if any). | 84859BAA9 |
| At least one of the following other identifiers: |
| - ISIN | US84859BAA98 |
| - Ticker (if ISIN is not available). | SAVE50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6RJR5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 99000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 110926.5300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0140694793 |
| 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. | 2025-09-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 364 |
| a. Name of issuer (if any). | OneMain Finance Corp |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | ONEMAIN FINANCE CORP |
| d. CUSIP (if any). | 85172FAN9 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAN96 |
| - Ticker (if ISIN is not available). | AMGFIN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDTMS47 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 335000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 381045.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0483303253 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 365 |
| a. Name of issuer (if any). | Sprint Corp |
| b. LEI (if any) of issuer. (1) | 549300ZTTY7CXOLJ6539 |
| c. Title of the issue or description of the investment. | SPRINT CORP |
| d. CUSIP (if any). | 85207UAH8 |
| At least one of the following other identifiers: |
| - ISIN | US85207UAH86 |
| - Ticker (if ISIN is not available). | S |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BSHYYV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 680000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 769175.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0975591189 |
| 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. | 7.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 366 |
| a. Name of issuer (if any). | Standard Industries Inc/NJ |
| b. LEI (if any) of issuer. (1) | 54930064UHXCIUWVI755 |
| c. Title of the issue or description of the investment. | STANDARD INDUSTRIES INC |
| d. CUSIP (if any). | 853496AC1 |
| At least one of the following other identifiers: |
| - ISIN | US853496AC17 |
| - Ticker (if ISIN is not available). | SDDE44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDVPXC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 277292.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0351707017 |
| 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. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 367 |
| a. Name of issuer (if any). | At Home Group Inc |
| b. LEI (if any) of issuer. (1) | 549300LGPR0P05O30I24 |
| c. Title of the issue or description of the investment. | AT HOME GROUP INC |
| d. CUSIP (if any). | 04651BAB5 |
| At least one of the following other identifiers: |
| - ISIN | US04651BAB53 |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 194553.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0246763847 |
| 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. | 2028-07-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 368 |
| a. Name of issuer (if any). | Atlas Air Worldwide Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300R0A2TUVCYZB465 |
| c. Title of the issue or description of the investment. | ATLAS AIR WORLDWIDE HLDG |
| d. CUSIP (if any). | 049164BJ4 |
| At least one of the following other identifiers: |
| - ISIN | US049164BJ49 |
| - Ticker (if ISIN is not available). | AAWW44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF028Z1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4816581.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6109159508 |
| 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. | 2024-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | ATLAS AIR WORLDWIDE HLDG | ATLAS AIR WORLDWIDE HLDG | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 049164205 | ||
| ISIN (if CUSIP is not available) | US0491642056 | ||
| Ticker (if CUSIP and ISIN are not available) | AAWW | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B01Z8P4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 16.3713000000 | 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: 369 |
| a. Name of issuer (if any). | Standard Industries Inc/NJ |
| b. LEI (if any) of issuer. (1) | 54930064UHXCIUWVI755 |
| c. Title of the issue or description of the investment. | STANDARD INDUSTRIES INC |
| d. CUSIP (if any). | 853496AG2 |
| At least one of the following other identifiers: |
| - ISIN | US853496AG21 |
| - Ticker (if ISIN is not available). | SDDE50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYXXP4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66269.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084053315 |
| 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. | 2030-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 370 |
| a. Name of issuer (if any). | Starwood Property Trust Inc |
| b. LEI (if any) of issuer. (1) | BUGSFQZERKRBFWIG5267 |
| c. Title of the issue or description of the investment. | STARWOOD PROPERTY TRUST |
| d. CUSIP (if any). | 85571BAL9 |
| At least one of the following other identifiers: |
| - ISIN | US85571BAL99 |
| - Ticker (if ISIN is not available). | STWD45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYW54F3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 362950.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0460351769 |
| 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. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 371 |
| a. Name of issuer (if any). | Stericycle Inc |
| b. LEI (if any) of issuer. (1) | B8PTJH2P0AXSWSMP2136 |
| c. Title of the issue or description of the investment. | STERICYCLE INC |
| d. CUSIP (if any). | 858912AG3 |
| At least one of the following other identifiers: |
| - ISIN | US858912AG34 |
| - Ticker (if ISIN is not available). | SRCL50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMX5072 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 133919.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0169857780 |
| 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. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 372 |
| a. Name of issuer (if any). | STL Holding Co LLC |
| b. LEI (if any) of issuer. (1) | 984500BC2I63E7F48656 |
| c. Title of the issue or description of the investment. | STL HOLDING CO LLC |
| d. CUSIP (if any). | 861036AA9 |
| At least one of the following other identifiers: |
| - ISIN | US861036AA92 |
| - Ticker (if ISIN is not available). | STLHC5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFLY21 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 211272.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0267968990 |
| 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. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 373 |
| a. Name of issuer (if any). | Aviation Capital Group LLC |
| b. LEI (if any) of issuer. (1) | 549300ODEK8HY3445C77 |
| c. Title of the issue or description of the investment. | AVIATION CAPITAL GROUP |
| d. CUSIP (if any). | 05369AAA9 |
| At least one of the following other identifiers: |
| - ISIN | US05369AAA97 |
| - Ticker (if ISIN is not available). | TCNRF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ1DXR0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 292000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 305046.5600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0386908907 |
| 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. | 2027-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 374 |
| a. Name of issuer (if any). | Avolon Holdings Funding Ltd |
| b. LEI (if any) of issuer. (1) | 635400ZRKEX9L1BKCH30 |
| c. Title of the issue or description of the investment. | AVOLON HOLDINGS FNDG LTD |
| d. CUSIP (if any). | 05401AAD3 |
| At least one of the following other identifiers: |
| - ISIN | US05401AAD37 |
| - Ticker (if ISIN is not available). | AVOL47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLBBR8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 137000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 148620.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0188504120 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 375 |
| a. Name of issuer (if any). | Summit Midstream Holdings LLC / Summit Midstream Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SUMMIT MID HLDS LLC / FI |
| d. CUSIP (if any). | 86614WAE6 |
| At least one of the following other identifiers: |
| - ISIN | US86614WAE66 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVRF42 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 33000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 33259.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0042184873 |
| 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. | 2026-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 376 |
| a. Name of issuer (if any). | Sunoco LP / Sunoco Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SUNOCO LP/FINANCE CORP |
| d. CUSIP (if any). | 86765LAU1 |
| At least one of the following other identifiers: |
| - ISIN | US86765LAU17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTVPX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 65619.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0083229097 |
| 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. | 2030-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 377 |
| a. Name of issuer (if any). | BWX Technologies Inc |
| b. LEI (if any) of issuer. (1) | 549300NP85N265KWMS58 |
| c. Title of the issue or description of the investment. | BWX TECHNOLOGIES INC |
| d. CUSIP (if any). | 05605HAC4 |
| At least one of the following other identifiers: |
| - ISIN | US05605HAC43 |
| - Ticker (if ISIN is not available). | BWXTWI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCVHJ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 261000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 265186.4400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0336351919 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 378 |
| a. Name of issuer (if any). | Boxer Parent Co Inc |
| b. LEI (if any) of issuer. (1) | 5493006T045HLTF7YX04 |
| c. Title of the issue or description of the investment. | BOXER PARENT CO INC |
| d. CUSIP (if any). | 05988HAE7 |
| At least one of the following other identifiers: |
| - ISIN | US05988HAE71 |
| Balance. (2) |
| a. Balance | 285925.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 284352.4100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0360661272 |
| 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. | 3.838 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 379 |
| a. Name of issuer (if any). | SunEdison Inc |
| b. LEI (if any) of issuer. (1) | 5493004W8FBXFVSWVZ87 |
| c. Title of the issue or description of the investment. | SUNEDISON INC |
| d. CUSIP (if any). | 867ESCAE5 |
| At least one of the following other identifiers: |
| - ISIN | US042105NF95 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 867ESCAE5 |
| Description of other unique identifier. | Internal ID |
| Balance. (2) |
| a. Balance | 9600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 148512.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0188366706 |
| 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. | 2049-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | SUNEDISON INC | SUNEDISON INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 86732Y109 | ||
| ISIN (if CUSIP is not available) | US86732Y1091 | ||
| Ticker (if CUSIP and ISIN are not available) | SUNEQ | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BBC3995 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 37.2148000000 | 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: 380 |
| 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). | 87256FAH7 |
| At least one of the following other identifiers: |
| - ISIN | US87256FAH73 |
| Balance. (2) |
| a. Balance | 311621.3100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 311669.6100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0395309320 |
| 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. | 2028-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 381 |
| a. Name of issuer (if any). | 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). | 071734AH0 |
| At least one of the following other identifiers: |
| - ISIN | US071734AH05 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPNQ94 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 278049.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0352666278 |
| 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. | 2028-01-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 382 |
| a. Name of issuer (if any). | 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). | 071734AL1 |
| At least one of the following other identifiers: |
| - ISIN | US071734AL17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLH34H3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 365000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 328963.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0417244265 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 383 |
| a. Name of issuer (if any). | Talen Energy Supply LLC |
| b. LEI (if any) of issuer. (1) | K5K33XN0PQAU1XF7NN66 |
| c. Title of the issue or description of the investment. | TALEN ENERGY SUPPLY LLC |
| d. CUSIP (if any). | 87422VAF5 |
| At least one of the following other identifiers: |
| - ISIN | US87422VAF58 |
| - Ticker (if ISIN is not available). | TLN483 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK77J95 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 70000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 67118.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0085130813 |
| 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. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 384 |
| a. Name of issuer (if any). | Taylor Morrison Communities Inc |
| b. LEI (if any) of issuer. (1) | 549300O1Z08HI2MRK572 |
| c. Title of the issue or description of the investment. | TAYLOR MORRISON COMM |
| d. CUSIP (if any). | 87724RAB8 |
| At least one of the following other identifiers: |
| - ISIN | US87724RAB87 |
| - Ticker (if ISIN is not available). | TMCF48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJX75H2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 207000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 227948.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0289120672 |
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 385 |
| a. Name of issuer (if any). | Team Health Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300PVTQ4UDTTMQT11 |
| c. Title of the issue or description of the investment. | TEAM HEALTH HOLDINGS INC |
| d. CUSIP (if any). | 87817JAE8 |
| At least one of the following other identifiers: |
| - ISIN | US87817JAE82 |
| Balance. (2) |
| a. Balance | 626695.8500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 600321.3600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0761423704 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-02-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 386 |
| a. Name of issuer (if any). | Telecom Italia Capital SA |
| b. LEI (if any) of issuer. (1) | 549300777DJZOR5C4L39 |
| c. Title of the issue or description of the investment. | TELECOM ITALIA CAPITAL |
| d. CUSIP (if any). | 87927VAM0 |
| At least one of the following other identifiers: |
| - ISIN | US87927VAM00 |
| - Ticker (if ISIN is not available). | TI.GH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B80LG33 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 233864.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0296624291 |
| 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. | 2034-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 387 |
| a. Name of issuer (if any). | Beacon Roofing Supply Inc |
| b. LEI (if any) of issuer. (1) | 549300HDXQWWCBOYXP31 |
| c. Title of the issue or description of the investment. | BEACON ROOFING SUPPLY IN |
| d. CUSIP (if any). | 073685AH2 |
| At least one of the following other identifiers: |
| - ISIN | US073685AH26 |
| - Ticker (if ISIN is not available). | BECN51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDV7R9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 271000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 268607.0700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0340690510 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 388 |
| a. Name of issuer (if any). | Beasley Mezzanine Holdings LLC |
| b. LEI (if any) of issuer. (1) | 549300VK8LJV1TK18D38 |
| c. Title of the issue or description of the investment. | BEASLEY MEZ HLDGS LLC |
| d. CUSIP (if any). | 07403VAA7 |
| At least one of the following other identifiers: |
| - ISIN | US07403VAA70 |
| - Ticker (if ISIN is not available). | BSLZ51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKY8J57 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 196000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 198193.2400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0251380412 |
| 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. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 389 |
| a. Name of issuer (if any). | Tenet Healthcare Corp |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP |
| d. CUSIP (if any). | 88033GAV2 |
| At least one of the following other identifiers: |
| - ISIN | US88033GAV23 |
| - Ticker (if ISIN is not available). | THC.GU |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2842749 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 433665.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0550043414 |
| 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. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 390 |
| a. Name of issuer (if any). | Tenet Healthcare Corp |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP |
| d. CUSIP (if any). | 88033GCS7 |
| At least one of the following other identifiers: |
| - ISIN | US88033GCS75 |
| - Ticker (if ISIN is not available). | THC450 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD492B8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 329000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 333553.3600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0423065797 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 391 |
| a. Name of issuer (if any). | Tenet Healthcare Corp |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP |
| d. CUSIP (if any). | 88033GCX6 |
| At least one of the following other identifiers: |
| - ISIN | US88033GCX60 |
| - Ticker (if ISIN is not available). | THC478 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHX13B0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 625000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 649750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0824117022 |
| 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. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 392 |
| a. Name of issuer (if any). | Tenet Healthcare Corp |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP |
| d. CUSIP (if any). | 88033GCY4 |
| At least one of the following other identifiers: |
| - ISIN | US88033GCY44 |
| - Ticker (if ISIN is not available). | THC487 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKFV9N3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 355236.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0450567385 |
| 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. | 2026-01-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 393 |
| a. Name of issuer (if any). | Bentley Systems Inc |
| b. LEI (if any) of issuer. (1) | 549300WVEHPGE0Z56F71 |
| c. Title of the issue or description of the investment. | BENTLEY SYSTEMS INC |
| d. CUSIP (if any). | 08265TAA7 |
| At least one of the following other identifiers: |
| - ISIN | US08265TAA79 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNDN9T8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8818182.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1184631477 |
| 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. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | BENTLEY SYSTEMS INC | BENTLEY SYSTEMS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 08265T208 | ||
| ISIN (if CUSIP is not available) | US08265T2087 | ||
| Ticker (if CUSIP and ISIN are not available) | BSY | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BMC1PR6 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 15.5925000000 | 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: 394 |
| a. Name of issuer (if any). | Berry Global Inc |
| b. LEI (if any) of issuer. (1) | 549300AP2Q7ERHX6RI89 |
| c. Title of the issue or description of the investment. | BERRY GLOBAL INC |
| d. CUSIP (if any). | 08579JBG6 |
| At least one of the following other identifiers: |
| - ISIN | US08579JBG67 |
| Balance. (2) |
| a. Balance | 440099.9200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 437818.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0555310914 |
| 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. | 2026-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.838 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 395 |
| a. Name of issuer (if any). | TerraForm Power Operating LLC |
| b. LEI (if any) of issuer. (1) | 5493000S2OLR3UT5BE13 |
| c. Title of the issue or description of the investment. | TERRAFORM POWER OPERATIN |
| d. CUSIP (if any). | 88104LAE3 |
| At least one of the following other identifiers: |
| - ISIN | US88104LAE39 |
| - Ticker (if ISIN is not available). | BEP457 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD2BVC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 374979.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0475609063 |
| 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. | 2028-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 396 |
| a. Name of issuer (if any). | Tesla Inc |
| b. LEI (if any) of issuer. (1) | 54930043XZGB27CTOV49 |
| c. Title of the issue or description of the investment. | TESLA INC |
| d. CUSIP (if any). | 88160RAG6 |
| At least one of the following other identifiers: |
| - ISIN | US88160RAG65 |
| - Ticker (if ISIN is not available). | TSLA48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLT2S0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3875000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 69537185.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 8.8198195964 |
| 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. | 2024-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | TESLA INC | TESLA INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 88160R101 | ||
| ISIN (if CUSIP is not available) | US88160R1014 | ||
| Ticker (if CUSIP and ISIN are not available) | TSLA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B616C79 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 16.1380000000 | 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: 397 |
| a. Name of issuer (if any). | Bill.com Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300IBF9VZZIGOZW63 |
| c. Title of the issue or description of the investment. | BILL.COM HOLDINGS INC |
| d. CUSIP (if any). | 090043AA8 |
| At least one of the following other identifiers: |
| - ISIN | US090043AA81 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYDCC4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4659000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9026719.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1449131274 |
| 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. | 2025-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | BILL.COM HOLDINGS INC | BILL.COM HOLDINGS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 090043100 | ||
| ISIN (if CUSIP is not available) | US0900431000 | ||
| Ticker (if CUSIP and ISIN are not available) | BILL | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BKDS4H5 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 6.2159000000 | 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: 398 |
| a. Name of issuer (if any). | Booz Allen Hamilton Inc |
| b. LEI (if any) of issuer. (1) | 549300D7XCH2480XU542 |
| c. Title of the issue or description of the investment. | BOOZ ALLEN HAMILTON INC |
| d. CUSIP (if any). | 09951LAB9 |
| At least one of the following other identifiers: |
| - ISIN | US09951LAB99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9Y6N1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 131000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 132729.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168348431 |
| 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. | 2029-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 399 |
| a. Name of issuer (if any). | Brink's Co/The |
| b. LEI (if any) of issuer. (1) | XFP140TFNOQMIVFTVQ13 |
| c. Title of the issue or description of the investment. | BRINK'S CO/THE |
| d. CUSIP (if any). | 109696AB0 |
| At least one of the following other identifiers: |
| - ISIN | US109696AB05 |
| - Ticker (if ISIN is not available). | BCO500 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCC3R8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 210026.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0266388614 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 400 |
| a. Name of issuer (if any). | British Airways 2021-1 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BRITISH AIR 21-1 B PTT |
| d. CUSIP (if any). | 11042CAB6 |
| At least one of the following other identifiers: |
| - ISIN | US11042CAB63 |
| - Ticker (if ISIN is not available). | BAPA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCR3M5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 308391.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0391151623 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.900 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 401 |
| a. Name of issuer (if any). | Teva Pharmaceutical Finance Netherlands III BV |
| b. LEI (if any) of issuer. (1) | 5493004T21MOAFINJP35 |
| c. Title of the issue or description of the investment. | TEVA PHARMACEUTICALS NE |
| d. CUSIP (if any). | 88167AAD3 |
| At least one of the following other identifiers: |
| - ISIN | US88167AAD37 |
| - Ticker (if ISIN is not available). | TEVA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD3GP22 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 590000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 594596.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0754162012 |
| 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. | 2023-07-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 402 |
| a. Name of issuer (if any). | BroadStreet Partners Inc |
| b. LEI (if any) of issuer. (1) | 549300BS9N54G8DD0R75 |
| c. Title of the issue or description of the investment. | BROADSTREET PARTNERS INC |
| d. CUSIP (if any). | 11135RAA3 |
| At least one of the following other identifiers: |
| - ISIN | US11135RAA32 |
| - Ticker (if ISIN is not available). | BRSP51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNBW7Y8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 397000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 390540.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0495346409 |
| 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. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 403 |
| a. Name of issuer (if any). | Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BROOKFIELD PPTY REIT INC |
| d. CUSIP (if any). | 11284DAA3 |
| At least one of the following other identifiers: |
| - ISIN | US11284DAA37 |
| - Ticker (if ISIN is not available). | BPY482 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJBL0T3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 324000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 335356.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0425352448 |
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 404 |
| a. Name of issuer (if any). | Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BROOKFIELD PPTY REIT INC |
| d. CUSIP (if any). | 11284DAC9 |
| At least one of the following other identifiers: |
| - ISIN | US11284DAC92 |
| - Ticker (if ISIN is not available). | BPY526 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPBSB37 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 535000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 522636.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0662890877 |
| 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. | 2027-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 405 |
| a. Name of issuer (if any). | Buckeye Partners LP |
| b. LEI (if any) of issuer. (1) | 549300C1PQJLVEIUBK50 |
| c. Title of the issue or description of the investment. | BUCKEYE PARTNERS LP |
| d. CUSIP (if any). | 118230AM3 |
| At least one of the following other identifiers: |
| - ISIN | US118230AM30 |
| - Ticker (if ISIN is not available). | BPL406 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGDRY29 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 133232.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168987241 |
| 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. | 2043-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.850 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 406 |
| a. Name of issuer (if any). | CCO Holdings LLC / CCO Holdings Capital Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP |
| d. CUSIP (if any). | 1248EPBT9 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPBT92 |
| - Ticker (if ISIN is not available). | CHTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYM4WW3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 725000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 752666.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0954651578 |
| 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. | 2027-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 407 |
| a. Name of issuer (if any). | CCO Holdings LLC / CCO Holdings Capital Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP |
| d. CUSIP (if any). | 1248EPBX0 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPBX05 |
| - Ticker (if ISIN is not available). | CHTR45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2KJZ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 135306.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0171617503 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 408 |
| a. Name of issuer (if any). | CCO Holdings LLC / CCO Holdings Capital Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP |
| d. CUSIP (if any). | 1248EPCD3 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPCD32 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK6WV51 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 310176.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0393414885 |
| 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. | 2030-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 409 |
| a. Name of issuer (if any). | CCO Holdings LLC / CCO Holdings Capital Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP |
| d. CUSIP (if any). | 1248EPCK7 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPCK74 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2R7D1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 131000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130575.5600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0165616840 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 410 |
| a. Name of issuer (if any). | CCO Holdings LLC / CCO Holdings Capital Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP |
| d. CUSIP (if any). | 1248EPCP6 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPCP61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVZMH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 97143.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0123212312 |
| 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. | 2034-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 411 |
| a. Name of issuer (if any). | CDK Global Inc |
| b. LEI (if any) of issuer. (1) | 5493000L10CYRTHIJ385 |
| c. Title of the issue or description of the investment. | CDK GLOBAL INC |
| d. CUSIP (if any). | 12508EAJ0 |
| At least one of the following other identifiers: |
| - ISIN | US12508EAJ01 |
| - Ticker (if ISIN is not available). | CDK483 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK94J38 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 150397.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0190758580 |
| 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. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 412 |
| a. Name of issuer (if any). | CHS/Community Health Systems Inc |
| b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
| c. Title of the issue or description of the investment. | CHS/COMMUNITY HEALTH SYS |
| d. CUSIP (if any). | 12543DBC3 |
| At least one of the following other identifiers: |
| - ISIN | US12543DBC39 |
| - Ticker (if ISIN is not available). | CYH480 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHL3S91 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 322375.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0408888689 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 413 |
| a. Name of issuer (if any). | CHS/Community Health Systems Inc |
| b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
| c. Title of the issue or description of the investment. | CHS/COMMUNITY HEALTH SYS |
| d. CUSIP (if any). | 12543DBJ8 |
| At least one of the following other identifiers: |
| - ISIN | US12543DBJ81 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDMJ98 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 146000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 150372.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0190726744 |
| 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. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 414 |
| a. Name of issuer (if any). | CHS/Community Health Systems Inc |
| b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
| c. Title of the issue or description of the investment. | CHS/COMMUNITY HEALTH SYS |
| d. CUSIP (if any). | 12543DBL3 |
| At least one of the following other identifiers: |
| - ISIN | US12543DBL38 |
| - Ticker (if ISIN is not available). | CYH517 |
| - 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 | 533000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 524557.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0665327562 |
| 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. | 6.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 415 |
| 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). | 126307AQ0 |
| At least one of the following other identifiers: |
| - ISIN | US126307AQ03 |
| - Ticker (if ISIN is not available). | ALLVF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD9FV69 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 980000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1012663.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1284421925 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 416 |
| a. Name of issuer (if any). | 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). | 126307AS6 |
| At least one of the following other identifiers: |
| - ISIN | US126307AS68 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2BQ30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 412928.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0523741429 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 417 |
| 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 |
| - Ticker (if ISIN is not available). | ALLVF4 |
| - 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 | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 592194.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0751115284 |
| 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. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 418 |
| a. Name of issuer (if any). | 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). | 126307BD8 |
| At least one of the following other identifiers: |
| - ISIN | US126307BD80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9M1M9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 367156.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0465686048 |
| 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. | 2030-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 419 |
| 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 | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 194280.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0246417014 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 420 |
| a. Name of issuer (if any). | Caesars Entertainment Inc |
| b. LEI (if any) of issuer. (1) | 549300FA4CTCW903Y781 |
| c. Title of the issue or description of the investment. | CAESARS ENTERTAIN INC |
| d. CUSIP (if any). | 12769GAA8 |
| At least one of the following other identifiers: |
| - ISIN | US12769GAA85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP6VNC4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 168000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 169216.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0214627241 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 421 |
| a. Name of issuer (if any). | Calpine Corp |
| b. LEI (if any) of issuer. (1) | 43R4VPJBXTU2O15HEF41 |
| c. Title of the issue or description of the investment. | CALPINE CORP |
| d. CUSIP (if any). | 131347CM6 |
| At least one of the following other identifiers: |
| - ISIN | US131347CM64 |
| - Ticker (if ISIN is not available). | CPN492 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVS9S6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 204000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 206794.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0262290288 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 422 |
| a. Name of issuer (if any). | Fly Leasing Ltd |
| b. LEI (if any) of issuer. (1) | 549300LI58A0MHGHTZ98 |
| c. Title of the issue or description of the investment. | FLY LEASING LTD |
| d. CUSIP (if any). | 14308CAA1 |
| At least one of the following other identifiers: |
| - ISIN | US14308CAA18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVNPY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 300942.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0381702847 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 423 |
| a. Name of issuer (if any). | 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). | 143658BG6 |
| At least one of the following other identifiers: |
| - ISIN | US143658BG61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCGQB5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 134000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 155770.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0197573707 |
| 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. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 424 |
| a. Name of issuer (if any). | 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). | 143658BL5 |
| At least one of the following other identifiers: |
| - ISIN | US143658BL56 |
| - Ticker (if ISIN is not available). | CCL508 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWC6B0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 68000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 71737.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0090989571 |
| 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. | 7.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 425 |
| a. Name of issuer (if any). | Carriage Services Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CARRIAGE SERVICES INC |
| d. CUSIP (if any). | 143905AP2 |
| At least one of the following other identifiers: |
| - ISIN | US143905AP21 |
| - Ticker (if ISIN is not available). | CSV517 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGH5N6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 315000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 315919.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0400700092 |
| 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. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 426 |
| a. Name of issuer (if any). | Carvana Co |
| b. LEI (if any) of issuer. (1) | 5493003WEAK2PJ5WS063 |
| c. Title of the issue or description of the investment. | CARVANA CO |
| d. CUSIP (if any). | 146869AB8 |
| At least one of the following other identifiers: |
| - ISIN | US146869AB81 |
| - Ticker (if ISIN is not available). | CVNA50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBYYZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 199518.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0253060875 |
| 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. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 427 |
| a. Name of issuer (if any). | Cascades Inc/Cascades USA Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CASCADES INC/USA INC |
| d. CUSIP (if any). | 14739LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US14739LAA08 |
| - Ticker (if ISIN is not available). | CADNF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV9BC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 207000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 219397.2300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0278274708 |
| 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. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 428 |
| a. Name of issuer (if any). | Cascades Inc/Cascades USA Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CASCADES INC/USA INC |
| d. CUSIP (if any). | 14739LAB8 |
| At least one of the following other identifiers: |
| - ISIN | US14739LAB80 |
| - Ticker (if ISIN is not available). | CADNF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV9C79 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 138000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 144490.1400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0183265539 |
| 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. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 429 |
| a. Name of issuer (if any). | Cincinnati Bell Inc |
| b. LEI (if any) of issuer. (1) | 549300JYVZOCUJOHL272 |
| c. Title of the issue or description of the investment. | CINCINNATI BELL INC |
| d. CUSIP (if any). | 14987RAA6 |
| At least one of the following other identifiers: |
| - ISIN | US14987RAA68 |
| - Ticker (if ISIN is not available). | CBB454 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDFGGV6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 485000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 506286.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0642153823 |
| 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. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 430 |
| a. Name of issuer (if any). | Centene Corp |
| b. LEI (if any) of issuer. (1) | 549300Z7JJ4TQSQGT333 |
| c. Title of the issue or description of the investment. | CENTENE CORP |
| d. CUSIP (if any). | 15135BAR2 |
| At least one of the following other identifiers: |
| - ISIN | US15135BAR24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCTMH9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 174000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 182369.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0231310084 |
| 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. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 431 |
| a. Name of issuer (if any). | Centene Corp |
| b. LEI (if any) of issuer. (1) | 549300Z7JJ4TQSQGT333 |
| c. Title of the issue or description of the investment. | CENTENE CORP |
| d. CUSIP (if any). | 15135BAW1 |
| At least one of the following other identifiers: |
| - ISIN | US15135BAW19 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKVDKR4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 138306.5600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0175422532 |
| 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. | 2030-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 432 |
| a. Name of issuer (if any). | Central Garden & Pet Co |
| b. LEI (if any) of issuer. (1) | 5493004DVZLD37DJ0H83 |
| c. Title of the issue or description of the investment. | CENTRAL GARDEN & PET CO |
| d. CUSIP (if any). | 153527AP1 |
| At least one of the following other identifiers: |
| - ISIN | US153527AP10 |
| - Ticker (if ISIN is not available). | CENT51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHVCF8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 307070.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0389476563 |
| 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. | 2031-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 433 |
| a. Name of issuer (if any). | Century Communities Inc |
| b. LEI (if any) of issuer. (1) | 5299002QMB2O7ZL1CA26 |
| c. Title of the issue or description of the investment. | CENTURY COMMUNITIES |
| d. CUSIP (if any). | 156504AJ1 |
| At least one of the following other identifiers: |
| - ISIN | US156504AJ18 |
| - Ticker (if ISIN is not available). | CCS483 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK20397 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 366897.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0465357732 |
| 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. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 434 |
| a. Name of issuer (if any). | Century Communities Inc |
| b. LEI (if any) of issuer. (1) | 5299002QMB2O7ZL1CA26 |
| c. Title of the issue or description of the investment. | CENTURY COMMUNITIES |
| d. CUSIP (if any). | 156504AM4 |
| At least one of the following other identifiers: |
| - ISIN | US156504AM47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWVNL6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64979.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0082417854 |
| 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. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 435 |
| a. Name of issuer (if any). | Lumen Technologies Inc |
| b. LEI (if any) of issuer. (1) | 8M3THTGWLTYZVE6BBY25 |
| c. Title of the issue or description of the investment. | LUMEN TECHNOLOGIES INC |
| d. CUSIP (if any). | 156700BC9 |
| At least one of the following other identifiers: |
| - ISIN | US156700BC99 |
| - Ticker (if ISIN is not available). | CTL493 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BH3T5T6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 320000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 321555.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0407847809 |
| 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. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 436 |
| a. Name of issuer (if any). | Chegg Inc |
| b. LEI (if any) of issuer. (1) | 549300AKX7O8JG0O3G77 |
| c. Title of the issue or description of the investment. | CHEGG INC |
| d. CUSIP (if any). | 163092AF6 |
| At least one of the following other identifiers: |
| - ISIN | US163092AF65 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8Z4K8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6991050.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8867169384 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | CHEGG INC | CHEGG INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 163092109 | ||
| ISIN (if CUSIP is not available) | US1630921096 | ||
| Ticker (if CUSIP and ISIN are not available) | CHGG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BG6N6K6 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 9.2978000000 | 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: 437 |
| a. Name of issuer (if any). | Chemours Co/The |
| b. LEI (if any) of issuer. (1) | 549300M1BOLNXL8DOV14 |
| c. Title of the issue or description of the investment. | CHEMOURS CO |
| d. CUSIP (if any). | 163851AH1 |
| At least one of the following other identifiers: |
| - ISIN | US163851AH15 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP2BRJ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 187929.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0238362039 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 438 |
| a. Name of issuer (if any). | Cheniere Energy Partners LP |
| b. LEI (if any) of issuer. (1) | 5493005UEC8AZ34LDV29 |
| c. Title of the issue or description of the investment. | CHENIERE ENERGY PARTNERS |
| d. CUSIP (if any). | 16411QAL5 |
| At least one of the following other identifiers: |
| - ISIN | US16411QAL59 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHLCC5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 131000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130062.0400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0164965511 |
| 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. | 2032-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 439 |
| a. Name of issuer (if any). | Cheniere Energy Inc |
| b. LEI (if any) of issuer. (1) | MIHC87W9WTYSYZWV1J40 |
| c. Title of the issue or description of the investment. | CHENIERE ENERGY INC |
| d. CUSIP (if any). | 16411RAK5 |
| At least one of the following other identifiers: |
| - ISIN | US16411RAK59 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNMB2S3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 129000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 135564.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0171945006 |
| 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. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 440 |
| a. Name of issuer (if any). | Clear Channel Outdoor Holdings Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CLEAR CHANNEL OUTDOOR HO |
| d. CUSIP (if any). | 18452RAD7 |
| At least one of the following other identifiers: |
| - ISIN | US18452RAD70 |
| Balance. (2) |
| a. Balance | 343000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 338031.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0428745882 |
| 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. | 2026-08-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.588 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 441 |
| a. Name of issuer (if any). | Coinbase Global Inc |
| b. LEI (if any) of issuer. (1) | 5493004G3J2SC154DU06 |
| c. Title of the issue or description of the investment. | COINBASE GLOBAL INC |
| d. CUSIP (if any). | 19260QAA5 |
| At least one of the following other identifiers: |
| - ISIN | US19260QAA58 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLPJH85 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5329935.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6760277276 |
| 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. | 2026-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | COINBASE GLOBAL INC | COINBASE GLOBAL INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 19260Q107 | ||
| ISIN (if CUSIP is not available) | US19260Q1076 | ||
| Ticker (if CUSIP and ISIN are not available) | COIN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BMC9P69 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.6994000000 | 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: 442 |
| a. Name of issuer (if any). | IH Merger Sub LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | IH MERGER SUB LLC |
| d. CUSIP (if any). | 19625XAB8 |
| At least one of the following other identifiers: |
| - ISIN | US19625XAB82 |
| - Ticker (if ISIN is not available). | INVH45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYW94W2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5903625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7487922824 |
| 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. | 2022-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | IH MERGER SUB LLC | IH MERGER SUB LLC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 46187W107 | ||
| ISIN (if CUSIP is not available) | US46187W1071 | ||
| Ticker (if CUSIP and ISIN are not available) | INVH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD81GW9 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 43.9448000000 | 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: 443 |
| 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). | 203372AX5 |
| At least one of the following other identifiers: |
| - ISIN | US203372AX50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLDBLL4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 245000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 240609.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0305179634 |
| 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. | 2029-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 444 |
| a. Name of issuer (if any). | CommScope Technologies LLC |
| b. LEI (if any) of issuer. (1) | M4TWC4QDOKW45N7T6Y12 |
| c. Title of the issue or description of the investment. | COMMSCOPE TECH LLC |
| d. CUSIP (if any). | 20337YAA5 |
| At least one of the following other identifiers: |
| - ISIN | US20337YAA55 |
| - Ticker (if ISIN is not available). | COMM42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQF2Y4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 315000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 311935.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0395645994 |
| 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. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 445 |
| a. Name of issuer (if any). | CONMED Corp |
| b. LEI (if any) of issuer. (1) | Z6C0YCECH9DCU5ZIQW84 |
| c. Title of the issue or description of the investment. | CONMED CORP |
| d. CUSIP (if any). | 207410AF8 |
| At least one of the following other identifiers: |
| - ISIN | US207410AF81 |
| - Ticker (if ISIN is not available). | CNMD49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK5BVL5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4292225.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5444087242 |
| 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. | 2024-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | CONMED CORP | CONMED CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 207410101 | ||
| ISIN (if CUSIP is not available) | US2074101013 | ||
| Ticker (if CUSIP and ISIN are not available) | CNMD | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2216010 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 11.2608000000 | 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: 446 |
| a. Name of issuer (if any). | Consolidated Communications Inc |
| b. LEI (if any) of issuer. (1) | 549300WW675Y48HDVX34 |
| c. Title of the issue or description of the investment. | CONSOLIDATED COMMUNICATIONS |
| d. CUSIP (if any). | 20903EBB0 |
| At least one of the following other identifiers: |
| - ISIN | US20903EBB02 |
| Balance. (2) |
| a. Balance | 174931.1500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 175134.0700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0222133079 |
| 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. | 2027-10-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 447 |
| a. Name of issuer (if any). | Continental Resources Inc/OK |
| b. LEI (if any) of issuer. (1) | XXRTID9RYWOZ0UPIVR53 |
| c. Title of the issue or description of the investment. | CONTINENTAL RESOURCES |
| d. CUSIP (if any). | 212015AS0 |
| At least one of the following other identifiers: |
| - ISIN | US212015AS02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF19CF9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 218488.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0277121477 |
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 448 |
| a. Name of issuer (if any). | Coupa Software Inc |
| b. LEI (if any) of issuer. (1) | 549300Q95ICR2GFL2K37 |
| c. Title of the issue or description of the investment. | COUPA SOFTWARE INC |
| d. CUSIP (if any). | 22266LAF3 |
| At least one of the following other identifiers: |
| - ISIN | US22266LAF31 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKCRN8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 13766250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.7460563225 |
| 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. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | COUPA SOFTWARE INC | COUPA SOFTWARE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 22266L106 | ||
| ISIN (if CUSIP is not available) | US22266L1061 | ||
| Ticker (if CUSIP and ISIN are not available) | COUP | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD87XR1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.3732000000 | 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: 449 |
| a. Name of issuer (if any). | Cushman & Wakefield US Borrower LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CUSHMAN & WAKEFIELD US |
| d. CUSIP (if any). | 23166MAA1 |
| At least one of the following other identifiers: |
| - ISIN | US23166MAA18 |
| - Ticker (if ISIN is not available). | CWK499 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGDH49 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 84000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 90169.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0114367783 |
| 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. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 450 |
| a. Name of issuer (if any). | CyberArk Software Ltd |
| b. LEI (if any) of issuer. (1) | 529900YEXNDM894PWS93 |
| c. Title of the issue or description of the investment. | CYBERARK SOFTWARE LTD |
| d. CUSIP (if any). | 23248VAB1 |
| At least one of the following other identifiers: |
| - ISIN | US23248VAB18 |
| - Ticker (if ISIN is not available). | CYBR50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC6Y85 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5184440.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6575737213 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ISRAEL
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | CYBERARK SOFTWARE LTD | CYBERARK SOFTWARE LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | IL0011334468 | ||
| Ticker (if CUSIP and ISIN are not available) | CYBR | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BQT3XY6 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 6.3478000000 | 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: 451 |
| a. Name of issuer (if any). | DCP Midstream Operating LP |
| b. LEI (if any) of issuer. (1) | 549300Y6CTBSE0QIPL28 |
| c. Title of the issue or description of the investment. | DCP MIDSTREAM OPERATING |
| d. CUSIP (if any). | 23311RAH9 |
| At least one of the following other identifiers: |
| - ISIN | US23311RAH93 |
| - Ticker (if ISIN is not available). | DCP400 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B9WGBC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 415000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 394743.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0500677378 |
| 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. | 2043-05-21 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.850 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 452 |
| a. Name of issuer (if any). | DT Midstream Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DT MIDSTREAM INC |
| d. CUSIP (if any). | 23345MAA5 |
| At least one of the following other identifiers: |
| - ISIN | US23345MAA53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLN9LF2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 137000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 138194.6400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0175280577 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 453 |
| a. Name of issuer (if any). | Datadog Inc |
| b. LEI (if any) of issuer. (1) | 549300F6JNO0KRPO1K63 |
| c. Title of the issue or description of the investment. | DATADOG INC |
| d. CUSIP (if any). | 23804LAB9 |
| At least one of the following other identifiers: |
| - ISIN | US23804LAB99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKGZH0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12329265.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.5637948683 |
| 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. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | DATADOG INC | DATADOG INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 23804L103 | ||
| ISIN (if CUSIP is not available) | US23804L1035 | ||
| Ticker (if CUSIP and ISIN are not available) | DDOG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BKT9Y49 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 10.8338000000 | 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: 454 |
| a. Name of issuer (if any). | DaVita Inc |
| b. LEI (if any) of issuer. (1) | M2XHYMU3TZNEZURC6H66 |
| c. Title of the issue or description of the investment. | DAVITA INC |
| d. CUSIP (if any). | 23918KAS7 |
| At least one of the following other identifiers: |
| - ISIN | US23918KAS78 |
| - Ticker (if ISIN is not available). | DVA499 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW7NB4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 396000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 398478.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0505414842 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 455 |
| a. Name of issuer (if any). | DaVita Inc |
| b. LEI (if any) of issuer. (1) | M2XHYMU3TZNEZURC6H66 |
| c. Title of the issue or description of the investment. | DAVITA INC |
| d. CUSIP (if any). | 23918KAT5 |
| At least one of the following other identifiers: |
| - ISIN | US23918KAT51 |
| - Ticker (if ISIN is not available). | DVA502 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFBJQ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 313000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 296911.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0376591102 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 456 |
| a. Name of issuer (if any). | Dell International LLC / EMC Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELL INT LLC / EMC CORP |
| d. CUSIP (if any). | 24703TAC0 |
| At least one of the following other identifiers: |
| - ISIN | US24703TAC09 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL97D09 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 144026.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0182677159 |
| 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. | 5.850 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 457 |
| a. Name of issuer (if any). | Dell International LLC / EMC Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELL INT LLC / EMC CORP |
| d. CUSIP (if any). | 24703TAD8 |
| At least one of the following other identifiers: |
| - ISIN | US24703TAD81 |
| Balance. (2) |
| a. Balance | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 365356.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0463403887 |
| 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. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.020 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 458 |
| a. Name of issuer (if any). | Delta Air Lines Inc |
| b. LEI (if any) of issuer. (1) | Q2CCMS6R0AS67HJMBN42 |
| c. Title of the issue or description of the investment. | DELTA AIR LINES INC |
| d. CUSIP (if any). | 247361ZP6 |
| At least one of the following other identifiers: |
| - ISIN | US247361ZP69 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZP598 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 67000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 69464.2600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0088105701 |
| 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. | 2023-04-19 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 459 |
| a. Name of issuer (if any). | Delta Air Lines Inc |
| b. LEI (if any) of issuer. (1) | Q2CCMS6R0AS67HJMBN42 |
| c. Title of the issue or description of the investment. | DELTA AIR LINES INC |
| d. CUSIP (if any). | 247361ZZ4 |
| At least one of the following other identifiers: |
| - ISIN | US247361ZZ42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVT184 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 66000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 77642.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0098478528 |
| 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. | 7.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 460 |
| a. Name of issuer (if any). | Diamond Foreign Asset Co / Diamond Finance LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIAMOND FRGN/DIAMOND FIN |
| d. CUSIP (if any). | 25260WAC5 |
| At least one of the following other identifiers: |
| - ISIN | US25260WAC55 |
| - Ticker (if ISIN is not available). | L51799 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6KB52 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3259.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3284.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0004165460 |
| 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. | 2027-04-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 461 |
| a. Name of issuer (if any). | Diamond Sports Group LLC / Diamond Sports Finance Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIAMOND SPORTS GR/DIAMON |
| d. CUSIP (if any). | 25277LAA4 |
| At least one of the following other identifiers: |
| - ISIN | US25277LAA44 |
| - Ticker (if ISIN is not available). | DSGR48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKGCH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 146000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 82744.0400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0104949245 |
| 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. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 462 |
| a. Name of issuer (if any). | Diamond Sports Group LLC / Diamond Sports Finance Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIAMOND SPORTS GR/DIAMON |
| d. CUSIP (if any). | 25277LAC0 |
| At least one of the following other identifiers: |
| - ISIN | US25277LAC00 |
| - Ticker (if ISIN is not available). | DSGR48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKGCN4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 63111.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0080047859 |
| 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. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 463 |
| a. Name of issuer (if any). | Dick's Sporting Goods Inc |
| b. LEI (if any) of issuer. (1) | 529900SSBV5I4LWSK313 |
| c. Title of the issue or description of the investment. | DICK'S SPORTING GOODS |
| d. CUSIP (if any). | 253393AD4 |
| At least one of the following other identifiers: |
| - ISIN | US253393AD47 |
| - Ticker (if ISIN is not available). | DKS517 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9CH76 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8564782.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.0863229009 |
| 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. | 2025-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | DICK'S SPORTING GOODS | DICK'S SPORTING GOODS | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 253393102 | ||
| ISIN (if CUSIP is not available) | US2533931026 | ||
| Ticker (if CUSIP and ISIN are not available) | DKS | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2969637 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 30.3858000000 | 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: 464 |
| a. Name of issuer (if any). | Directv Financing LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIRECTV FINANCING LLC |
| d. CUSIP (if any). | 25460HAB8 |
| At least one of the following other identifiers: |
| - ISIN | US25460HAB87 |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 751406.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0953053761 |
| 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. | 2027-07-22 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 465 |
| a. Name of issuer (if any). | DIRECTV Holdings LLC / DIRECTV Financing Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIRECTV HOLDINGS/FING |
| 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 | 35000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 36349.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0046104829 |
| 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. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 466 |
| 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 | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5103500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6473076141 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | DISH NETWORK 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 | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2303581 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 15.3429000000 | 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: 467 |
| 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). | 25470MAD1 |
| At least one of the following other identifiers: |
| - ISIN | US25470MAD11 |
| - Ticker (if ISIN is not available). | DISH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFMNDT1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 515000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 501115.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0635595069 |
| 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. | 2024-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | DISH NETWORK 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 | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2303581 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 12.1630000000 | 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: 468 |
| 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). | 25470MAE9 |
| At least one of the following other identifiers: |
| - ISIN | US25470MAE93 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6HKK5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5168790.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6555887376 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2303581 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 24.4123000000 | 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: 469 |
| a. Name of issuer (if any). | DraftKings Inc |
| b. LEI (if any) of issuer. (1) | 5493008P45UYYL683Z97 |
| c. Title of the issue or description of the investment. | DRAFTKINGS INC |
| d. CUSIP (if any). | 26142RAA2 |
| At least one of the following other identifiers: |
| - ISIN | US26142RAA23 |
| - Ticker (if ISIN is not available). | DKNG51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTJ2N5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8520330.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.0806847229 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | DRAFTKINGS INC | DRAFTKINGS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 26142R104 | ||
| ISIN (if CUSIP is not available) | US26142R1041 | ||
| Ticker (if CUSIP and ISIN are not available) | DKNG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BMYML02 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 10.5430000000 | 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: 470 |
| a. Name of issuer (if any). | Dun & Bradstreet Corp/The |
| b. LEI (if any) of issuer. (1) | RI37BMPWE56BCJ747E14 |
| c. Title of the issue or description of the investment. | DUN & BRADSTREET CORP |
| d. CUSIP (if any). | 26483NAN0 |
| At least one of the following other identifiers: |
| - ISIN | US26483NAN03 |
| Balance. (2) |
| a. Balance | 280741.0300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 279939.5100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0355064125 |
| 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. | 2026-02-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.337 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 471 |
| a. Name of issuer (if any). | EQT Corp |
| b. LEI (if any) of issuer. (1) | 4NT01YGM4X7ZX86ISY52 |
| c. Title of the issue or description of the investment. | EQT CORP |
| d. CUSIP (if any). | 26884LAG4 |
| At least one of the following other identifiers: |
| - ISIN | US26884LAG41 |
| - Ticker (if ISIN is not available). | EQT493 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKL239 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 192418.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0244055962 |
| 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. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 472 |
| a. Name of issuer (if any). | EQT Corp |
| b. LEI (if any) of issuer. (1) | 4NT01YGM4X7ZX86ISY52 |
| c. Title of the issue or description of the investment. | EQT CORP |
| d. CUSIP (if any). | 26884LAH2 |
| At least one of the following other identifiers: |
| - ISIN | US26884LAH24 |
| - Ticker (if ISIN is not available). | EQT493 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKL217 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 110000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 123987.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0157260934 |
| 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. | 2025-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 473 |
| a. Name of issuer (if any). | EQT Corp |
| b. LEI (if any) of issuer. (1) | 4NT01YGM4X7ZX86ISY52 |
| c. Title of the issue or description of the investment. | EQT CORP |
| d. CUSIP (if any). | 26884LAL3 |
| At least one of the following other identifiers: |
| - ISIN | US26884LAL36 |
| - Ticker (if ISIN is not available). | EQT507 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDMZ01 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 72354.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0091771059 |
| 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. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 474 |
| a. Name of issuer (if any). | EPR Properties |
| b. LEI (if any) of issuer. (1) | 549300YSSXFHMPOWZ492 |
| c. Title of the issue or description of the investment. | EPR PROPERTIES |
| d. CUSIP (if any). | 26884UAF6 |
| At least one of the following other identifiers: |
| - ISIN | US26884UAF66 |
| - Ticker (if ISIN is not available). | EPR487 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHQZFR9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 215632.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0273499294 |
| 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. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 475 |
| a. Name of issuer (if any). | Edgewell Personal Care Co |
| b. LEI (if any) of issuer. (1) | 549300CY8QZDL4Z3RU59 |
| c. Title of the issue or description of the investment. | EDGEWELL PERSONAL CARE |
| d. CUSIP (if any). | 28035QAA0 |
| At least one of the following other identifiers: |
| - ISIN | US28035QAA04 |
| - Ticker (if ISIN is not available). | ENR499 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJK0G59 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 141363.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0179300341 |
| 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. | 2028-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 476 |
| a. Name of issuer (if any). | Edgewell Personal Care Co |
| b. LEI (if any) of issuer. (1) | 549300CY8QZDL4Z3RU59 |
| c. Title of the issue or description of the investment. | EDGEWELL PERSONAL CARE |
| d. CUSIP (if any). | 28035QAB8 |
| At least one of the following other identifiers: |
| - ISIN | US28035QAB86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCDKC2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 196000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 193655.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0245625355 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 477 |
| a. Name of issuer (if any). | Caesars Entertainment Inc |
| b. LEI (if any) of issuer. (1) | 549300FA4CTCW903Y781 |
| c. Title of the issue or description of the investment. | CAESARS ENTERTAIN INC |
| d. CUSIP (if any). | 28470RAH5 |
| At least one of the following other identifiers: |
| - ISIN | US28470RAH57 |
| - Ticker (if ISIN is not available). | ERI500 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLFBXP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 139035.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0176347218 |
| 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. | 2025-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 478 |
| a. Name of issuer (if any). | Embarq Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | EMBARQ CORP |
| d. CUSIP (if any). | 29078EAA3 |
| At least one of the following other identifiers: |
| - ISIN | US29078EAA38 |
| - Ticker (if ISIN is not available). | CTL366 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B156W36 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 527000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 583309.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0739847109 |
| 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. | 2036-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.995 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 479 |
| a. Name of issuer (if any). | Empire Resorts Inc |
| b. LEI (if any) of issuer. (1) | 549300WBFN23L9HI5N68 |
| c. Title of the issue or description of the investment. | EMPIRE RESORTS INC |
| d. CUSIP (if any). | 292052AF4 |
| At least one of the following other identifiers: |
| - ISIN | US292052AF45 |
| - Ticker (if ISIN is not available). | NYNY52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVY1X1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 204556.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0259450683 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 480 |
| a. Name of issuer (if any). | Ovintiv Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | OVINTIV INC |
| d. CUSIP (if any). | 292505AD6 |
| At least one of the following other identifiers: |
| - ISIN | US292505AD65 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B02DZ90 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 70000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 94128.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0119388587 |
| 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. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 481 |
| a. Name of issuer (if any). | Encompass Health Corp |
| b. LEI (if any) of issuer. (1) | 549300FVRPM9DRQZRG64 |
| c. Title of the issue or description of the investment. | ENCOMPASS HEALTH CORP |
| d. CUSIP (if any). | 29261AAA8 |
| At least one of the following other identifiers: |
| - ISIN | US29261AAA88 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK73CG1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 132490.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168046054 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 482 |
| 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). | 29273RBA6 |
| At least one of the following other identifiers: |
| - ISIN | US29273RBA68 |
| - Ticker (if ISIN is not available). | ETP407 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHBFCH3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 390000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 321449.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0407713997 |
| 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. | 2066-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.149 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 483 |
| 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). | 29273VAN0 |
| At least one of the following other identifiers: |
| - ISIN | US29273VAN01 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2CHF8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 197000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 204529.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0259416869 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 484 |
| a. Name of issuer (if any). | EnerSys |
| b. LEI (if any) of issuer. (1) | 7ZS3DE5PN30BYUJFWP05 |
| c. Title of the issue or description of the investment. | ENERSYS |
| d. CUSIP (if any). | 29275YAC6 |
| At least one of the following other identifiers: |
| - ISIN | US29275YAC66 |
| - Ticker (if ISIN is not available). | ENS492 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9RW64 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 145000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 152429.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0193335887 |
| 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. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 485 |
| a. Name of issuer (if any). | EnLink Midstream Partners LP |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | ENLINK MIDSTREAM PARTNER |
| d. CUSIP (if any). | 29336UAF4 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAF49 |
| - Ticker (if ISIN is not available). | ENLC43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD86G80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 285000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 296881.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0376552861 |
| 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. | 4.850 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 486 |
| a. Name of issuer (if any). | EnLink Midstream Partners LP |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | ENLINK MIDSTREAM PARTNER |
| d. CUSIP (if any). | 29336UAH0 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAH05 |
| - Ticker (if ISIN is not available). | ENLC45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF97ND0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 340000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 273513.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0346912996 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 487 |
| a. Name of issuer (if any). | Enphase Energy Inc |
| b. LEI (if any) of issuer. (1) | 5493008U7KIGMI59Z314 |
| c. Title of the issue or description of the investment. | ENPHASE ENERGY INC |
| d. CUSIP (if any). | 29355AAG2 |
| At least one of the following other identifiers: |
| - ISIN | US29355AAG22 |
| - Ticker (if ISIN is not available). | ENPH51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRKG27 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5422150.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6877239110 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ENPHASE ENERGY INC | ENPHASE ENERGY INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 29355A107 | ||
| ISIN (if CUSIP is not available) | US29355A1079 | ||
| Ticker (if CUSIP and ISIN are not available) | ENPH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B65SQW4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.2523000000 | 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: 488 |
| a. Name of issuer (if any). | Enphase Energy Inc |
| b. LEI (if any) of issuer. (1) | 5493008U7KIGMI59Z314 |
| c. Title of the issue or description of the investment. | ENPHASE ENERGY INC |
| d. CUSIP (if any). | 29355AAJ6 |
| At least one of the following other identifiers: |
| - ISIN | US29355AAJ60 |
| - Ticker (if ISIN is not available). | ENPH51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRKGN8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5569500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7064131981 |
| 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. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ENPHASE ENERGY INC | ENPHASE ENERGY INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 29355A107 | ||
| ISIN (if CUSIP is not available) | US29355A1079 | ||
| Ticker (if CUSIP and ISIN are not available) | ENPH | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B65SQW4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.5104000000 | 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: 489 |
| a. Name of issuer (if any). | Envista Holdings Corp |
| b. LEI (if any) of issuer. (1) | 549300BX623VURJZ5269 |
| c. Title of the issue or description of the investment. | ENVISTA HOLDINGS CORP |
| d. CUSIP (if any). | 29415FAB0 |
| At least one of the following other identifiers: |
| - ISIN | US29415FAB04 |
| - Ticker (if ISIN is not available). | NVST51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZ1NX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2079000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4073488.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5166650767 |
| 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. | 2025-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | ENVISTA HOLDINGS CORP | ENVISTA HOLDINGS CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 29415F104 | ||
| ISIN (if CUSIP is not available) | US29415F1049 | ||
| Ticker (if CUSIP and ISIN are not available) | NVST | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BK63SF3 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 47.5862000000 | 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: 490 |
| a. Name of issuer (if any). | Eventbrite Inc |
| b. LEI (if any) of issuer. (1) | 549300N6XBV2B1FAUF55 |
| c. Title of the issue or description of the investment. | EVENTBRITE INC |
| d. CUSIP (if any). | 29975EAC3 |
| At least one of the following other identifiers: |
| - ISIN | US29975EAC30 |
| - Ticker (if ISIN is not available). | EB5146 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6JK90 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3193000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3286299.4600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4168211350 |
| 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. | 0.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | EVENTBRITE INC | EVENTBRITE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 29975E109 | ||
| ISIN (if CUSIP is not available) | US29975E1091 | ||
| Ticker (if CUSIP and ISIN are not available) | EB | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BF5L3R0 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 35.8616000000 | 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: 491 |
| a. Name of issuer (if any). | Everbridge Inc |
| b. LEI (if any) of issuer. (1) | 549300WCY0UMR64ATW81 |
| c. Title of the issue or description of the investment. | EVERBRIDGE INC |
| d. CUSIP (if any). | 29978AAC8 |
| At least one of the following other identifiers: |
| - ISIN | US29978AAC80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXRZG2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3427132.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4346838369 |
| 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. | 2024-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | EVERBRIDGE INC | EVERBRIDGE INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 29978A104 | ||
| ISIN (if CUSIP is not available) | US29978A1043 | ||
| Ticker (if CUSIP and ISIN are not available) | EVBG | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BYY5ZB4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 8.8999000000 | 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: 492 |
| a. Name of issuer (if any). | Everi Holdings Inc |
| b. LEI (if any) of issuer. (1) | 5299006DK5S7BG10K532 |
| c. Title of the issue or description of the investment. | EVERI HOLDINGS INC |
| d. CUSIP (if any). | 30034TAA1 |
| At least one of the following other identifiers: |
| - ISIN | US30034TAA16 |
| - Ticker (if ISIN is not available). | EVRI52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG7C32 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 196000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 200984.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0254920456 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 493 |
| a. Name of issuer (if any). | Exact Sciences Corp |
| b. LEI (if any) of issuer. (1) | 549300VM3X1FYD4N9Z14 |
| c. Title of the issue or description of the investment. | EXACT SCIENCES CORP |
| d. CUSIP (if any). | 30063PAB1 |
| At least one of the following other identifiers: |
| - ISIN | US30063PAB13 |
| - Ticker (if ISIN is not available). | EXAS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJBSZH7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6813000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8641337855 |
| 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. | 0.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | EXACT SCIENCES CORP | EXACT SCIENCES CORP | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 30063P105 | ||
| ISIN (if CUSIP is not available) | US30063P1057 | ||
| Ticker (if CUSIP and ISIN are not available) | EXAS | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2719951 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 8.9554000000 | 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: 494 |
| a. Name of issuer (if any). | Fair Isaac Corp |
| b. LEI (if any) of issuer. (1) | RI6HET5SJUEY30V1PS26 |
| c. Title of the issue or description of the investment. | FAIR ISAAC CORP |
| d. CUSIP (if any). | 303250AF1 |
| At least one of the following other identifiers: |
| - ISIN | US303250AF16 |
| - Ticker (if ISIN is not available). | FICO49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKV3193 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 138000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 140075.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0177666211 |
| 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. | 2028-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 495 |
| a. Name of issuer (if any). | Five9 Inc |
| b. LEI (if any) of issuer. (1) | 254900MXP6EWY0SFFR59 |
| c. Title of the issue or description of the investment. | FIVE9 INC |
| d. CUSIP (if any). | 338307AD3 |
| At least one of the following other identifiers: |
| - ISIN | US338307AD33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2TYJ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6707900.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8508033201 |
| 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. | 2025-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | FIVE9 INC | FIVE9 INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 338307101 | ||
| ISIN (if CUSIP is not available) | US3383071012 | ||
| Ticker (if CUSIP and ISIN are not available) | FIVN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BKY7X18 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 7.4437000000 | 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: 496 |
| a. Name of issuer (if any). | Ford Motor Co |
| b. LEI (if any) of issuer. (1) | 20S05OYHG0MQM4VUIC57 |
| c. Title of the issue or description of the investment. | FORD MOTOR COMPANY |
| d. CUSIP (if any). | 345370CV0 |
| At least one of the following other identifiers: |
| - ISIN | US345370CV02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWWS69 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 165000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 180945.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0229504192 |
| 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. | 2023-04-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 497 |
| a. Name of issuer (if any). | Ford Motor Co |
| b. LEI (if any) of issuer. (1) | 20S05OYHG0MQM4VUIC57 |
| c. Title of the issue or description of the investment. | FORD MOTOR COMPANY |
| d. CUSIP (if any). | 345370CY4 |
| At least one of the following other identifiers: |
| - ISIN | US345370CY41 |
| - Ticker (if ISIN is not available). | F51504 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF85K0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 14500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 17101300.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.1690607819 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | FORD MOTOR COMPANY | FORD MOTOR COMPANY | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 345370860 | ||
| ISIN (if CUSIP is not available) | US3453708600 | ||
| Ticker (if CUSIP and ISIN are not available) | F | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2615468 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 57.1886000000 | 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: 498 |
| a. Name of issuer (if any). | Ford Motor Credit Co LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC |
| d. CUSIP (if any). | 345397B36 |
| At least one of the following other identifiers: |
| - ISIN | US345397B363 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMX50B6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 444103.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0563283509 |
| 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. | 2030-11-13 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 499 |
| a. Name of issuer (if any). | Ford Motor Credit Co LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC |
| d. CUSIP (if any). | 345397WW9 |
| At least one of the following other identifiers: |
| - ISIN | US345397WW97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQSC2N6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 320000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 332608.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0421866740 |
| 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. | 2024-09-08 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.664 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 500 |
| a. Name of issuer (if any). | Ford Motor Credit Co LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC |
| d. CUSIP (if any). | 345397XL2 |
| At least one of the following other identifiers: |
| - ISIN | US345397XL24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYZ5MH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 315000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 333317.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0422766325 |
| 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. | 2025-08-04 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.134 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 501 |
| a. Name of issuer (if any). | Ford Motor Credit Co LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC |
| d. CUSIP (if any). | 345397XU2 |
| At least one of the following other identifiers: |
| - ISIN | US345397XU23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD0SY80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 214024.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0271459518 |
| 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. | 2026-01-08 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.389 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 502 |
| a. Name of issuer (if any). | Ford Motor Credit Co LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC |
| d. CUSIP (if any). | 345397ZX4 |
| At least one of the following other identifiers: |
| - ISIN | US345397ZX44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKVF4J0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 368035.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0466801570 |
| 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. | 2024-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.063 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 503 |
| a. Name of issuer (if any). | Forestar Group Inc |
| b. LEI (if any) of issuer. (1) | 549300BC2UB0GHV60V70 |
| c. Title of the issue or description of the investment. | FORESTAR GROUP INC |
| d. CUSIP (if any). | 346232AE1 |
| At least one of the following other identifiers: |
| - ISIN | US346232AE19 |
| - Ticker (if ISIN is not available). | DHI495 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVPJ76 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 201862.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0256033785 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 504 |
| a. Name of issuer (if any). | Forestar Group Inc |
| b. LEI (if any) of issuer. (1) | 549300BC2UB0GHV60V70 |
| c. Title of the issue or description of the investment. | FORESTAR GROUP INC |
| d. CUSIP (if any). | 346232AF8 |
| At least one of the following other identifiers: |
| - ISIN | US346232AF83 |
| - Ticker (if ISIN is not available). | DHI516 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCRW28 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 137000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 137168.5100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0173979075 |
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.850 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 505 |
| a. Name of issuer (if any). | Freeport-McMoRan Inc |
| b. LEI (if any) of issuer. (1) | 549300IRDTHJQ1PVET45 |
| c. Title of the issue or description of the investment. | FREEPORT-MCMORAN INC |
| d. CUSIP (if any). | 35671DBC8 |
| At least one of the following other identifiers: |
| - ISIN | US35671DBC83 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFPC4S1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 163645.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0207561181 |
| 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. | 2043-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.450 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 506 |
| a. Name of issuer (if any). | Freeport-McMoRan Inc |
| b. LEI (if any) of issuer. (1) | 549300IRDTHJQ1PVET45 |
| c. Title of the issue or description of the investment. | FREEPORT-MCMORAN INC |
| d. CUSIP (if any). | 35671DCC7 |
| At least one of the following other identifiers: |
| - ISIN | US35671DCC74 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK9Z6S5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 185000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 193271.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0245137683 |
| 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. | 2027-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 507 |
| a. Name of issuer (if any). | Fresh Market Inc/The |
| b. LEI (if any) of issuer. (1) | 529900QM5ZSBEBR6CS58 |
| c. Title of the issue or description of the investment. | FRESH MARKET INC |
| d. CUSIP (if any). | 35804HAA4 |
| At least one of the following other identifiers: |
| - ISIN | US35804HAA41 |
| - Ticker (if ISIN is not available). | APO435 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYN82Y6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 185000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 190694.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0241869055 |
| 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. | 2023-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 508 |
| a. Name of issuer (if any). | Frontier Communications Holdings LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FRONTIER COMMUNICATIONS |
| d. CUSIP (if any). | 35906EAQ3 |
| At least one of the following other identifiers: |
| - ISIN | US35906EAQ35 |
| Balance. (2) |
| a. Balance | 612423.7500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 613036.1700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0777550662 |
| 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. | 2028-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 509 |
| a. Name of issuer (if any). | GFL Environmental Inc |
| b. LEI (if any) of issuer. (1) | 549300FYK4MBXWIVZU26 |
| c. Title of the issue or description of the investment. | GFL ENVIRONMENTAL INC |
| d. CUSIP (if any). | 36168QAK0 |
| At least one of the following other identifiers: |
| - ISIN | US36168QAK04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTV784 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 132000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 135967.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0172456294 |
| 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. | 2025-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 510 |
| a. Name of issuer (if any). | Ally Financial Inc |
| b. LEI (if any) of issuer. (1) | 549300JBN1OSM8YNAI90 |
| c. Title of the issue or description of the investment. | ALLY FINANCIAL INC |
| d. CUSIP (if any). | 36186CBY8 |
| At least one of the following other identifiers: |
| - ISIN | US36186CBY84 |
| - Ticker (if ISIN is not available). | ALLY36 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3LVPV8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 215000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 307976.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0390625444 |
| 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. | 2031-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 511 |
| a. Name of issuer (if any). | Frontier North Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FRONTIER NORTH INC |
| d. CUSIP (if any). | 362337AK3 |
| At least one of the following other identifiers: |
| - ISIN | US362337AK38 |
| - Ticker (if ISIN is not available). | FTR368 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZDDW1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 430208.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0545658693 |
| 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. | 6.730 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 512 |
| a. Name of issuer (if any). | Gannett Holdings LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GANNETT HOLDINGS LLC |
| d. CUSIP (if any). | 36474GAA3 |
| At least one of the following other identifiers: |
| - ISIN | US36474GAA31 |
| - Ticker (if ISIN is not available). | TGNA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTVT44 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 143000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 142924.2100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0181279376 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 513 |
| a. Name of issuer (if any). | Gap Inc/The |
| b. LEI (if any) of issuer. (1) | T2ZG1WRWZ4BUCMQL9224 |
| c. Title of the issue or description of the investment. | GAP INC/THE |
| d. CUSIP (if any). | 364760AP3 |
| At least one of the following other identifiers: |
| - ISIN | US364760AP35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHLCH0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 13000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12763.0100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0016188094 |
| 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. | 3.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 514 |
| a. Name of issuer (if any). | Gap Inc/The |
| b. LEI (if any) of issuer. (1) | T2ZG1WRWZ4BUCMQL9224 |
| c. Title of the issue or description of the investment. | GAP INC/THE |
| d. CUSIP (if any). | 364760AQ1 |
| At least one of the following other identifiers: |
| - ISIN | US364760AQ18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHLC81 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 98000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 96227.1800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0122050723 |
| 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. | 2031-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 515 |
| a. Name of issuer (if any). | Enact Holdings Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ENACT HOLDINGS INC |
| d. CUSIP (if any). | 37255LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US37255LAA52 |
| - Ticker (if ISIN is not available). | GNW503 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV9TZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 278000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 306016.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0388139572 |
| 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. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 516 |
| a. Name of issuer (if any). | Global Net Lease Inc / Global Net Lease Operating Partnership LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GLOBAL NET LEASE/GLOBAL |
| d. CUSIP (if any). | 37892AAA8 |
| At least one of the following other identifiers: |
| - ISIN | US37892AAA88 |
| - Ticker (if ISIN is not available). | GNL509 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYRZP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 389000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 383939.1100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0486973076 |
| 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. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 517 |
| a. Name of issuer (if any). | Go Daddy Operating Co LLC / GD Finance Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GO DADDY OPCO/FINCO |
| d. CUSIP (if any). | 38016LAA3 |
| At least one of the following other identifiers: |
| - ISIN | US38016LAA35 |
| - Ticker (if ISIN is not available). | GDDY48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLPZ45 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 69000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 71747.5800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0091001773 |
| 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. | 2027-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 518 |
| a. Name of issuer (if any). | Go Daddy Operating Co LLC / GD Finance Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GO DADDY OPCO/FINCO |
| d. CUSIP (if any). | 38016LAC9 |
| At least one of the following other identifiers: |
| - ISIN | US38016LAC90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6LVP5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 235000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 227766.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0288890211 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 519 |
| a. Name of issuer (if any). | goeasy Ltd |
| b. LEI (if any) of issuer. (1) | 5493009DJVZG2P8YV435 |
| c. Title of the issue or description of the investment. | GOEASY LTD |
| d. CUSIP (if any). | 380355AD9 |
| At least one of the following other identifiers: |
| - ISIN | US380355AD93 |
| - Ticker (if ISIN is not available). | EHMEF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLPZB2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 460000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 473473.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0600534803 |
| 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. | 2024-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 520 |
| a. Name of issuer (if any). | Graham Packaging Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GRAHAM PACKAGING/GPC CAP |
| d. CUSIP (if any). | 384701AA6 |
| At least one of the following other identifiers: |
| - ISIN | US384701AA65 |
| - Ticker (if ISIN is not available). | PTV502 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN4RFW4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 148000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 152445.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0193356333 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 521 |
| a. Name of issuer (if any). | Granite US Holdings Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GRANITE US HOLDINGS CORP |
| d. CUSIP (if any). | 38740TAE1 |
| At least one of the following other identifiers: |
| - ISIN | US38740TAE10 |
| Balance. (2) |
| a. Balance | 205853.9800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 205853.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0261096990 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.087 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 522 |
| a. Name of issuer (if any). | Granite US Holdings Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GRANITE US HOLDINGS CORP |
| d. CUSIP (if any). | 38748YAA0 |
| At least one of the following other identifiers: |
| - ISIN | US38748YAA01 |
| - Ticker (if ISIN is not available). | GRUH48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJN3QD3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 153598.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0194817839 |
| 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. | 2027-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 523 |
| a. Name of issuer (if any). | Graphic Packaging International LLC |
| b. LEI (if any) of issuer. (1) | SO75N4VY5NXGQSK8YQ65 |
| c. Title of the issue or description of the investment. | GRAPHIC PACKAGING INTERN |
| d. CUSIP (if any). | 38869AAA5 |
| At least one of the following other identifiers: |
| - ISIN | US38869AAA51 |
| - Ticker (if ISIN is not available). | GPK484 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK64CY3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 189701.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0240610144 |
| 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. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 524 |
| a. Name of issuer (if any). | Graphic Packaging International LLC |
| b. LEI (if any) of issuer. (1) | SO75N4VY5NXGQSK8YQ65 |
| c. Title of the issue or description of the investment. | GRAPHIC PACKAGING INTERN |
| d. CUSIP (if any). | 38869AAC1 |
| At least one of the following other identifiers: |
| - ISIN | US38869AAC18 |
| - Ticker (if ISIN is not available). | GPK503 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMPRK10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 124427.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0157818885 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 525 |
| a. Name of issuer (if any). | Great Lakes Dredge & Dock Corp |
| b. LEI (if any) of issuer. (1) | 549300H65E3MZ1CX0P05 |
| c. Title of the issue or description of the investment. | GREAT LAKES DREDGE&DOCK |
| d. CUSIP (if any). | 390607AF6 |
| At least one of the following other identifiers: |
| - ISIN | US390607AF62 |
| - Ticker (if ISIN is not available). | GLDD51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC2Y05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 290000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 295417.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0374695411 |
| 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. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 526 |
| a. Name of issuer (if any). | Greystar Real Estate Partners LLC |
| b. LEI (if any) of issuer. (1) | 254900HGC806SXAS4M46 |
| c. Title of the issue or description of the investment. | GREYSTAR REAL ESTATE PAR |
| d. CUSIP (if any). | 39807UAB2 |
| At least one of the following other identifiers: |
| - ISIN | US39807UAB26 |
| - Ticker (if ISIN is not available). | GYSX45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDRYRJ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 439000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 446989.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0566944060 |
| 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. | 2025-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 527 |
| a. Name of issuer (if any). | Group 1 Automotive Inc |
| b. LEI (if any) of issuer. (1) | 549300US8QAZJLWYAF63 |
| c. Title of the issue or description of the investment. | GROUP 1 AUTOMOTIVE INC |
| d. CUSIP (if any). | 398905AN9 |
| At least one of the following other identifiers: |
| - ISIN | US398905AN98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD7LD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 131000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131099.5600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0166281461 |
| 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. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 528 |
| a. Name of issuer (if any). | Guitar Center Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GUITAR CENTER INC |
| d. CUSIP (if any). | 40204BAA3 |
| At least one of the following other identifiers: |
| - ISIN | US40204BAA35 |
| - Ticker (if ISIN is not available). | BAIN50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHWP52 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 271000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 290208.4800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0368088878 |
| 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. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 529 |
| a. Name of issuer (if any). | Gulfport Energy Operating Corp |
| b. LEI (if any) of issuer. (1) | 549300FJX18IDUFPHD40 |
| c. Title of the issue or description of the investment. | GULFPORT ENERGY-ESCROW-DEFAULT |
| d. CUSIP (if any). | 402635AL0 |
| At least one of the following other identifiers: |
| - ISIN | US402635AL06 |
| Balance. (2) |
| a. Balance | 260000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14950.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0018961985 |
| 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. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.375 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 530 |
| a. Name of issuer (if any). | H&E Equipment Services Inc |
| b. LEI (if any) of issuer. (1) | 254900KVLRCDMQRYY541 |
| c. Title of the issue or description of the investment. | H&E EQUIPMENT SERVICES |
| d. CUSIP (if any). | 404030AJ7 |
| At least one of the following other identifiers: |
| - ISIN | US404030AJ72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLSN159 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 623000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 621286.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0788015369 |
| 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. | 2028-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 531 |
| a. Name of issuer (if any). | HB Fuller Co |
| b. LEI (if any) of issuer. (1) | JSMX3Z5FOYM8V0Q52357 |
| c. Title of the issue or description of the investment. | H.B. FULLER CO |
| d. CUSIP (if any). | 40410KAA3 |
| At least one of the following other identifiers: |
| - ISIN | US40410KAA34 |
| - Ticker (if ISIN is not available). | HBFL50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKSBH03 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 205000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 208907.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0264969699 |
| 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. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 532 |
| a. Name of issuer (if any). | HCA Inc |
| b. LEI (if any) of issuer. (1) | L3CJ6J7LJ2DX62FTXD46 |
| c. Title of the issue or description of the investment. | HCA INC |
| d. CUSIP (if any). | 404119AJ8 |
| At least one of the following other identifiers: |
| - ISIN | US404119AJ84 |
| - Ticker (if ISIN is not available). | HCA.HK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B039TZ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 282000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 406285.8600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0515316803 |
| 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. | 2033-11-06 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 533 |
| a. Name of issuer (if any). | Halozyme Therapeutics Inc |
| b. LEI (if any) of issuer. (1) | 529900242I3SV9AGM753 |
| c. Title of the issue or description of the investment. | HALOZYME THERAPEUTICS IN |
| d. CUSIP (if any). | 40637HAC3 |
| At least one of the following other identifiers: |
| - ISIN | US40637HAC34 |
| - Ticker (if ISIN is not available). | HALO51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRKBY4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4417900.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5603488406 |
| 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. | 2027-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | HALOZYME THERAPEUTICS IN | HALOZYME THERAPEUTICS IN | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 40637H109 | ||
| ISIN (if CUSIP is not available) | US40637H1095 | ||
| Ticker (if CUSIP and ISIN are not available) | HALO | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2975098 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 12.9576000000 | 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: 534 |
| a. Name of issuer (if any). | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HAWAIIAN BRAND INTELLECT |
| 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 | 295000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 310033.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0393233763 |
| 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. | 2026-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 535 |
| a. Name of issuer (if any). | HealthEquity Inc |
| b. LEI (if any) of issuer. (1) | 529900LRJU1RAFQHM467 |
| c. Title of the issue or description of the investment. | HEALTHEQUITY INC |
| d. CUSIP (if any). | 42226AAA5 |
| At least one of the following other identifiers: |
| - ISIN | US42226AAA51 |
| - Ticker (if ISIN is not available). | HQY527 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8SKG5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 98000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 99288.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0125933833 |
| 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. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 536 |
| a. Name of issuer (if any). | Herc Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300TP80QLITMSBP82 |
| c. Title of the issue or description of the investment. | HERC HOLDINGS INC |
| d. CUSIP (if any). | 42704LAA2 |
| At least one of the following other identifiers: |
| - ISIN | US42704LAA26 |
| - Ticker (if ISIN is not available). | HRI485 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHWTW85 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 365725.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0463871658 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 537 |
| 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). | 44106MAV4 |
| At least one of the following other identifiers: |
| - ISIN | US44106MAV46 |
| - Ticker (if ISIN is not available). | SVC433 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDF0WW1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 126453.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0160388900 |
| 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. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 538 |
| 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 |
| - Ticker (if ISIN is not available). | SVC488 |
| - 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 | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 348105.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0441522518 |
| 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. | 4.350 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 539 |
| a. Name of issuer (if any). | Teva Pharmaceutical Finance Netherlands III BV |
| b. LEI (if any) of issuer. (1) | 5493004T21MOAFINJP35 |
| c. Title of the issue or description of the investment. | TEVA PHARMACEUTICALS NE |
| d. CUSIP (if any). | 88167AAL5 |
| At least one of the following other identifiers: |
| - ISIN | US88167AAL52 |
| - Ticker (if ISIN is not available). | TEVA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFNC450 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 520000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 548132.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0695228798 |
| 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. | 2024-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 540 |
| a. Name of issuer (if any). | Howmet Aerospace Inc |
| b. LEI (if any) of issuer. (1) | 549300HO5WFZUT5N2T22 |
| c. Title of the issue or description of the investment. | HOWMET AEROSPACE INC |
| d. CUSIP (if any). | 443201AA6 |
| At least one of the following other identifiers: |
| - ISIN | US443201AA64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLFFMH7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4642.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0005888387 |
| 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. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 541 |
| a. Name of issuer (if any). | HUB International Ltd |
| b. LEI (if any) of issuer. (1) | 549300JQT6ATTUNS5E06 |
| c. Title of the issue or description of the investment. | HUB INTERNATIONAL LTD |
| d. CUSIP (if any). | 44332PAD3 |
| At least one of the following other identifiers: |
| - ISIN | US44332PAD33 |
| - Ticker (if ISIN is not available). | HKMS46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXTLW7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1190000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1231269.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1561692815 |
| 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. | 7.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 542 |
| a. Name of issuer (if any). | Thor Industries Inc |
| b. LEI (if any) of issuer. (1) | 254900XZO1228PDSG060 |
| c. Title of the issue or description of the investment. | THOR INDUSTRIES |
| d. CUSIP (if any). | 885160AA9 |
| At least one of the following other identifiers: |
| - ISIN | US885160AA99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTVT33 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64445.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0081740169 |
| 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. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 543 |
| 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). | 893647BE6 |
| At least one of the following other identifiers: |
| - ISIN | US893647BE67 |
| - Ticker (if ISIN is not available). | TDG479 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJJQH22 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 355000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 371198.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0470813584 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 544 |
| a. Name of issuer (if any). | Hughes Satellite Systems Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HUGHES SATELLITE SYSTEMS |
| d. CUSIP (if any). | 444454AD4 |
| At least one of the following other identifiers: |
| - ISIN | US444454AD48 |
| - Ticker (if ISIN is not available). | SATS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ12322 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 80000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 89448.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0113452281 |
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 545 |
| a. Name of issuer (if any). | ILFC E-Capital Trust II |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ILFC E-CAPITAL TRUST II |
| d. CUSIP (if any). | 44965UAA2 |
| At least one of the following other identifiers: |
| - ISIN | US44965UAA25 |
| - Ticker (if ISIN is not available). | AIG.GM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B0V0S60 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 525000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 450933.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0571945458 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Structured note
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2065-12-21 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.710 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 546 |
| 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 |
| - Ticker (if ISIN is not available). | TDG488 |
| - 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 | 205000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 215703.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0273589158 |
| 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. | 7.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 547 |
| 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). | 89364MBR4 |
| At least one of the following other identifiers: |
| - ISIN | US89364MBR43 |
| Balance. (2) |
| a. Balance | 68254.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 67496.0400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0085609289 |
| 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. | 2025-12-09 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.338 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 548 |
| a. Name of issuer (if any). | iStar Inc |
| b. LEI (if any) of issuer. (1) | QFFLKWYYS3UPWD86E794 |
| c. Title of the issue or description of the investment. | ISTAR INC |
| d. CUSIP (if any). | 45031UCJ8 |
| At least one of the following other identifiers: |
| - ISIN | US45031UCJ88 |
| - Ticker (if ISIN is not available). | SFI503 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL54BB1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 204000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 212957.6400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0270106989 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 549 |
| a. Name of issuer (if any). | Icahn Enterprises LP / Icahn Enterprises Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ICAHN ENTERPRISES/FIN |
| d. CUSIP (if any). | 451102BZ9 |
| At least one of the following other identifiers: |
| - ISIN | US451102BZ91 |
| - Ticker (if ISIN is not available). | IEP496 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLGSGV7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 335000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 348972.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0442623264 |
| 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. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 550 |
| a. Name of issuer (if any). | Icahn Enterprises LP / Icahn Enterprises Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ICAHN ENTERPRISES/FIN |
| d. CUSIP (if any). | 451102CC9 |
| At least one of the following other identifiers: |
| - ISIN | US451102CC97 |
| - Ticker (if ISIN is not available). | IEP521 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNLYXS0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 202000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 203129.1800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0257640962 |
| 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. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 551 |
| a. Name of issuer (if any). | IEA Energy Services LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | IEA ENERGY SERVICES LLC |
| d. CUSIP (if any). | 45174AAA0 |
| At least one of the following other identifiers: |
| - ISIN | US45174AAA07 |
| - Ticker (if ISIN is not available). | IEA523 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2ZJD9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 306360.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0388575583 |
| 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. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 552 |
| a. Name of issuer (if any). | TransDigm UK Holdings PLC |
| b. LEI (if any) of issuer. (1) | 549300JTYP71LZZSE903 |
| c. Title of the issue or description of the investment. | TRANSDIGM UK HOLDINGS |
| d. CUSIP (if any). | 89365DAA1 |
| At least one of the following other identifiers: |
| - ISIN | US89365DAA19 |
| - Ticker (if ISIN is not available). | TDG462 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ02967 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 211108.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0267760979 |
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 553 |
| a. Name of issuer (if any). | Trinseo Materials Operating SCA / Trinseo Materials Finance Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TRINSEO OP / TRINSEO FIN |
| d. CUSIP (if any). | 89668QAF5 |
| At least one of the following other identifiers: |
| - ISIN | US89668QAF54 |
| - Ticker (if ISIN is not available). | TRNQ51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF8SV2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 131000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131411.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0166676910 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 554 |
| a. Name of issuer (if any). | iHeartCommunications Inc |
| b. LEI (if any) of issuer. (1) | 54930076J6KDZL504O62 |
| c. Title of the issue or description of the investment. | IHEARTCOMMUNICATIONS INC |
| d. CUSIP (if any). | 45174UAF5 |
| At least one of the following other identifiers: |
| - ISIN | US45174UAF57 |
| Balance. (2) |
| a. Balance | 243951.7600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 242427.0600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0307484828 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.088 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 555 |
| a. Name of issuer (if any). | Innophos Holdings Inc |
| b. LEI (if any) of issuer. (1) | XQ0331QX53IRX25OY417 |
| c. Title of the issue or description of the investment. | INNOPHOS HOLDINGS INC |
| d. CUSIP (if any). | 45778EAG9 |
| At least one of the following other identifiers: |
| - ISIN | US45778EAG98 |
| Balance. (2) |
| a. Balance | 197000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 197615.6300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0250647795 |
| 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. | 2027-02-07 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.838 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 556 |
| a. Name of issuer (if any). | American Airlines Inc/AAdvantage Loyalty IP Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AMERICAN AIRLINES/AADVAN |
| d. CUSIP (if any). | 00253XAA9 |
| At least one of the following other identifiers: |
| - ISIN | US00253XAA90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8H716 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 196000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 205656.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0260847047 |
| 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. | 2026-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 557 |
| a. Name of issuer (if any). | American Airlines Inc/AAdvantage Loyalty IP Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AMERICAN AIRLINES/AADVAN |
| d. CUSIP (if any). | 00253XAB7 |
| At least one of the following other identifiers: |
| - ISIN | US00253XAB73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8H783 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 70029.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0088822882 |
| 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. | 2029-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 558 |
| a. Name of issuer (if any). | Tronox Inc |
| b. LEI (if any) of issuer. (1) | 549300EPZ4YXC7E5P181 |
| c. Title of the issue or description of the investment. | TRONOX INC |
| d. CUSIP (if any). | 897051AC2 |
| At least one of the following other identifiers: |
| - ISIN | US897051AC29 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNQPRV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 127598.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0161841363 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 559 |
| a. Name of issuer (if any). | Twilio Inc |
| b. LEI (if any) of issuer. (1) | 5493004W8TRGD63APX93 |
| c. Title of the issue or description of the investment. | TWILIO INC |
| d. CUSIP (if any). | 90138FAC6 |
| At least one of the following other identifiers: |
| - ISIN | US90138FAC68 |
| - Ticker (if ISIN is not available). | TWLO51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLH3WH9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 185000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 186972.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0237147965 |
| 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. | 3.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 560 |
| a. Name of issuer (if any). | Insulet Corp |
| b. LEI (if any) of issuer. (1) | 549300TZTYD2PYN92D43 |
| c. Title of the issue or description of the investment. | INSULET CORPORATION |
| d. CUSIP (if any). | 45784PAK7 |
| At least one of the following other identifiers: |
| - ISIN | US45784PAK75 |
| - Ticker (if ISIN is not available). | PODD50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVC6H7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 18167607.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.3043069783 |
| 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. | 0.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | INSULET CORPORATION | INSULET CORPORATION | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 45784P101 | ||
| ISIN (if CUSIP is not available) | US45784P1012 | ||
| Ticker (if CUSIP and ISIN are not available) | PODD | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B1XGNW4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 4.4105000000 | 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: 561 |
| a. Name of issuer (if any). | Integra LifeSciences Holdings Corp |
| b. LEI (if any) of issuer. (1) | WB7IJCYY8YFTENS4O147 |
| c. Title of the issue or description of the investment. | INTEGRA LIFESCIENCES HLD |
| d. CUSIP (if any). | 457985AM1 |
| At least one of the following other identifiers: |
| - ISIN | US457985AM13 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKBJQ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 8000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8713280.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1051577324 |
| 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. | 0.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | INTEGRA LIFESCIENCES HLD | INTEGRA LIFESCIENCES HLD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 457985208 | ||
| ISIN (if CUSIP is not available) | US4579852082 | ||
| Ticker (if CUSIP and ISIN are not available) | IART | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2248693 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 13.5739000000 | 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: 562 |
| a. Name of issuer (if any). | Twitter Inc |
| b. LEI (if any) of issuer. (1) | 549300I8RX485XMK6836 |
| c. Title of the issue or description of the investment. | TWITTER INC |
| d. CUSIP (if any). | 90184LAF9 |
| At least one of the following other identifiers: |
| - ISIN | US90184LAF94 |
| Balance. (2) |
| a. Balance | 4250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5015935.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6362012182 |
| 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. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | TWITTER INC | TWITTER INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 90184L102 | ||
| ISIN (if CUSIP is not available) | US90184L1026 | ||
| Ticker (if CUSIP and ISIN are not available) | TWTR | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BFLR866 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 17.5001000000 | 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: 563 |
| a. Name of issuer (if any). | Tyler Technologies Inc |
| b. LEI (if any) of issuer. (1) | 25490040SMU4Z8LBCW70 |
| c. Title of the issue or description of the investment. | TYLER TECHNOLOGIES INC |
| d. CUSIP (if any). | 902252AA3 |
| At least one of the following other identifiers: |
| - ISIN | US902252AA34 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXMVP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6091900.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7726723335 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | TYLER TECHNOLOGIES INC | TYLER TECHNOLOGIES INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 902252105 | ||
| ISIN (if CUSIP is not available) | US9022521051 | ||
| Ticker (if CUSIP and ISIN are not available) | TYL | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | 2909644 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.0266000000 | 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: 564 |
| a. Name of issuer (if any). | Intelsat Jackson Holdings SA |
| b. LEI (if any) of issuer. (1) | 8XJ8KF85PBKK1TLMFN29 |
| c. Title of the issue or description of the investment. | INTELSAT JACKSON-DEFAULT |
| d. CUSIP (if any). | 45824TAP0 |
| At least one of the following other identifiers: |
| - ISIN | US45824TAP03 |
| - Ticker (if ISIN is not available). | I41329 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7SP46 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 68316.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0086650245 |
| 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. | 2023-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 565 |
| a. Name of issuer (if any). | Intelsat Jackson Holdings SA |
| b. LEI (if any) of issuer. (1) | 8XJ8KF85PBKK1TLMFN29 |
| c. Title of the issue or description of the investment. | INTELSAT JACKSON-DEFAULT |
| d. CUSIP (if any). | 45824TAY1 |
| At least one of the following other identifiers: |
| - ISIN | US45824TAY10 |
| - Ticker (if ISIN is not available). | I45091 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDGGZY1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 103862.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0131734424 |
| 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. | 2025-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.750 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 566 |
| a. Name of issuer (if any). | Under Armour Inc |
| b. LEI (if any) of issuer. (1) | 549300D4549QKWETZ406 |
| c. Title of the issue or description of the investment. | UNDER ARMOUR INC |
| d. CUSIP (if any). | 904311AC1 |
| At least one of the following other identifiers: |
| - ISIN | US904311AC11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKP8QQ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6451022.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8182220011 |
| 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. | 2024-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | UNDER ARMOUR INC | UNDER ARMOUR INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 904311206 | ||
| ISIN (if CUSIP is not available) | US9043112062 | ||
| Ticker (if CUSIP and ISIN are not available) | UA | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BDF9YM2 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 101.8589000000 | 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: 567 |
| a. Name of issuer (if any). | UAL 2007-1 Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | UAL 2007 PASS TRUST |
| d. CUSIP (if any). | 909287AA2 |
| At least one of the following other identifiers: |
| - ISIN | US909287AA20 |
| - Ticker (if ISIN is not available). | MTB367 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1Z5MS8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 91830.5800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 94281.5400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0119582950 |
| 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. | 2024-01-02 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.636 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 568 |
| a. Name of issuer (if any). | International Game Technology PLC |
| b. LEI (if any) of issuer. (1) | 549300UQ6KHRCZDRGZ76 |
| c. Title of the issue or description of the investment. | INTERNATIONAL GAME TECH |
| d. CUSIP (if any). | 460599AD5 |
| At least one of the following other identifiers: |
| - ISIN | US460599AD57 |
| - Ticker (if ISIN is not available). | IGT469 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGQVRL8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 389132.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0493560038 |
| 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. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 569 |
| a. Name of issuer (if any). | International Game Technology PLC |
| b. LEI (if any) of issuer. (1) | 549300UQ6KHRCZDRGZ76 |
| c. Title of the issue or description of the investment. | INTERNATIONAL GAME TECH |
| d. CUSIP (if any). | 460599AF0 |
| At least one of the following other identifiers: |
| - ISIN | US460599AF06 |
| - Ticker (if ISIN is not available). | IGT515 |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 206874.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0262390742 |
| 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. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 570 |
| a. Name of issuer (if any). | Abercrombie & Fitch Management Co |
| b. LEI (if any) of issuer. (1) | 5493003QMCFDA98NPT74 |
| c. Title of the issue or description of the investment. | ABERCROMBIE & FITCH MANA |
| d. CUSIP (if any). | 003000AA4 |
| At least one of the following other identifiers: |
| - ISIN | US003000AA44 |
| - Ticker (if ISIN is not available). | ABER50 |
| - 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 | 265000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 286857.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0363838248 |
| 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. | 8.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 571 |
| a. Name of issuer (if any). | Acadia Healthcare Co Inc |
| b. LEI (if any) of issuer. (1) | 5493005CW985Y9D0NC11 |
| c. Title of the issue or description of the investment. | ACADIA HEALTHCARE CO INC |
| d. CUSIP (if any). | 00404AAP4 |
| At least one of the following other identifiers: |
| - ISIN | US00404AAP49 |
| - Ticker (if ISIN is not available). | ACHC50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCM9K0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 136000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 138921.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0176202219 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 572 |
| a. Name of issuer (if any). | Intertape Polymer Group Inc |
| b. LEI (if any) of issuer. (1) | 549300ESFR3Z1YNR6O65 |
| c. Title of the issue or description of the investment. | INTERTAPE POLYMER GROUP |
| d. CUSIP (if any). | 460919AB9 |
| At least one of the following other identifiers: |
| - ISIN | US460919AB94 |
| - Ticker (if ISIN is not available). | ITP518 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP4F9T7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 261000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 263022.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0333607581 |
| 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. | 2029-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 573 |
| 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 |
| - Ticker (if ISIN is not available). | SNEX49 |
| - 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 | 269000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 286802.4200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0363768767 |
| 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. | 8.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 574 |
| a. Name of issuer (if any). | Iron Mountain Inc |
| b. LEI (if any) of issuer. (1) | SQL3F6CKNNBM3SQGHX24 |
| c. Title of the issue or description of the investment. | IRON MOUNTAIN INC |
| d. CUSIP (if any). | 46284VAE1 |
| At least one of the following other identifiers: |
| - ISIN | US46284VAE11 |
| - Ticker (if ISIN is not available). | IRM457 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD3MND7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 625000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 653112.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0828381883 |
| 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. | 5.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 575 |
| a. Name of issuer (if any). | Ivanhoe Mines Ltd |
| b. LEI (if any) of issuer. (1) | 5299006XZISURYIA4G32 |
| c. Title of the issue or description of the investment. | IVANHOE MINES LTD |
| d. CUSIP (if any). | 46579RAA2 |
| At least one of the following other identifiers: |
| - ISIN | US46579RAA23 |
| - Ticker (if ISIN is not available). | IVPAF5 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNLXL2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6183692.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7843149286 |
| 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. | 2026-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | IVANHOE MINES LTD | IVANHOE MINES LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | CA46579R1047 | ||
| Ticker (if CUSIP and ISIN are not available) | IVN | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD73C40 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 134.5682000000 | 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: 576 |
| a. Name of issuer (if any). | United Airlines 2019-2 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | UNITED AIR 2019-2 B PTT |
| d. CUSIP (if any). | 90932KAA7 |
| At least one of the following other identifiers: |
| - ISIN | US90932KAA79 |
| - Ticker (if ISIN is not available). | UAL488 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8NWP3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 149596.3300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 148516.2400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0188372084 |
| 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. | 2029-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 577 |
| a. Name of issuer (if any). | United Airlines 2014-2 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | UNITED AIR 2014-2 B PTT |
| d. CUSIP (if any). | 90932QAB2 |
| At least one of the following other identifiers: |
| - ISIN | US90932QAB23 |
| - Ticker (if ISIN is not available). | UAL414 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPNXGM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 224562.3600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 230019.2300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0291747230 |
| 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. | 2024-03-03 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 578 |
| a. Name of issuer (if any). | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JBS USA/FOOD/FINANCE |
| d. CUSIP (if any). | 46590XAA4 |
| At least one of the following other identifiers: |
| - ISIN | US46590XAA46 |
| - Ticker (if ISIN is not available). | JBSSBZ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJH0CW1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 112000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 124567.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0157996481 |
| 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. | 6.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 579 |
| a. Name of issuer (if any). | JW Aluminum Continuous Cast Co |
| b. LEI (if any) of issuer. (1) | 5493008HJ8BWQC8XAF08 |
| c. Title of the issue or description of the investment. | JW ALUMINUM CONT CAST CO |
| d. CUSIP (if any). | 46648XAA6 |
| At least one of the following other identifiers: |
| - ISIN | US46648XAA63 |
| - Ticker (if ISIN is not available). | JWAL46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFYFDQ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 215000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 230239.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0292026231 |
| 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. | 2026-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 580 |
| a. Name of issuer (if any). | United Airlines Inc |
| b. LEI (if any) of issuer. (1) | K1OQBWM7XEOO08LDNP29 |
| c. Title of the issue or description of the investment. | UNITED AIRLINES INC |
| d. CUSIP (if any). | 90932RAJ3 |
| At least one of the following other identifiers: |
| - ISIN | US90932RAJ32 |
| Balance. (2) |
| a. Balance | 338300.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 343555.4900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0435752101 |
| 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. | 2028-04-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 581 |
| a. Name of issuer (if any). | United Natural Foods Inc |
| b. LEI (if any) of issuer. (1) | 549300GKGW6WPZ282D40 |
| c. Title of the issue or description of the investment. | UNITED NATURAL FOODS INC |
| d. CUSIP (if any). | 91116KAB1 |
| At least one of the following other identifiers: |
| - ISIN | US91116KAB17 |
| Balance. (2) |
| a. Balance | 98221.6100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 98427.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0124842003 |
| 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. | 2025-10-22 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.588 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 582 |
| a. Name of issuer (if any). | JBS USA LUX SA / JBS USA Finance Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JBS USA LUX/JBS USA FIN |
| d. CUSIP (if any). | 472141AA8 |
| At least one of the following other identifiers: |
| - ISIN | US472141AA82 |
| - Ticker (if ISIN is not available). | JBSSBZ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFY2017 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 340000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 367761.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0466453405 |
| 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. | 6.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 583 |
| a. Name of issuer (if any). | Jazz Investments I Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JAZZ INVESTMENTS I LTD |
| d. CUSIP (if any). | 472145AF8 |
| At least one of the following other identifiers: |
| - ISIN | US472145AF83 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNT2JN3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 6750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7868677.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9980317152 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | JAZZ INVESTMENTS I LTD | JAZZ INVESTMENTS I LTD | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | IE00B4Q5ZN47 | ||
| Ticker (if CUSIP and ISIN are not available) | JAZZ | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B4Q5ZN4 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 6.4182000000 | 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: 584 |
| a. Name of issuer (if any). | ACProducts Holdings Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ACPRODUCTS HOLDINGS INC |
| d. CUSIP (if any). | 00488YAB2 |
| At least one of the following other identifiers: |
| - ISIN | US00488YAB20 |
| Balance. (2) |
| a. Balance | 139650.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 139453.7900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0176877633 |
| 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. | 2028-05-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 585 |
| a. Name of issuer (if any). | Acrisure LLC / Acrisure Finance Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ACRISURE LLC / FIN INC |
| d. CUSIP (if any). | 00489LAH6 |
| At least one of the following other identifiers: |
| - ISIN | US00489LAH69 |
| - Ticker (if ISIN is not available). | ACUE52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMX7WS3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 393000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 386873.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0490694470 |
| 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. | 2029-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 586 |
| a. Name of issuer (if any). | Jazz Securities DAC |
| b. LEI (if any) of issuer. (1) | 6354009DV8VV7K6KOO02 |
| c. Title of the issue or description of the investment. | JAZZ SECURITIES DAC |
| d. CUSIP (if any). | 47216FAA5 |
| At least one of the following other identifiers: |
| - ISIN | US47216FAA57 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB5FL3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 205924.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0261185800 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 587 |
| a. Name of issuer (if any). | Jefferies Finance LLC / JFIN Co-Issuer Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JEFFERIES FIN LLC / JFIN |
| d. CUSIP (if any). | 47232MAF9 |
| At least one of the following other identifiers: |
| - ISIN | US47232MAF95 |
| - Ticker (if ISIN is not available). | LUK523 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP83D39 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 540000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 548121.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0695215607 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 588 |
| a. Name of issuer (if any). | United Rentals North America Inc |
| b. LEI (if any) of issuer. (1) | NGIZXNT70J2LYT3FBI09 |
| c. Title of the issue or description of the investment. | UNITED RENTALS NORTH AM |
| d. CUSIP (if any). | 911365BP8 |
| At least one of the following other identifiers: |
| - ISIN | US911365BP80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYX9J0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129931.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0164799432 |
| 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. | 3.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 589 |
| a. Name of issuer (if any). | United States Cellular Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | US CELLULAR CORP |
| d. CUSIP (if any). | 911684AD0 |
| At least one of the following other identifiers: |
| - ISIN | US911684AD06 |
| - Ticker (if ISIN is not available). | TDS370 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B8YXQN5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 370000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 460650.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0584270113 |
| 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. | 2033-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.700 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 590 |
| a. Name of issuer (if any). | Aethon United BR LP / Aethon United Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AETHON UN/AETHIN UN FIN |
| d. CUSIP (if any). | 00810GAC8 |
| At least one of the following other identifiers: |
| - ISIN | US00810GAC87 |
| - Ticker (if ISIN is not available). | AEUN51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFGT10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 215060.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0272773539 |
| 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. | 8.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 591 |
| a. Name of issuer (if any). | Air Canada |
| b. LEI (if any) of issuer. (1) | 4B4HI3CGXMBDC0G6BM51 |
| c. Title of the issue or description of the investment. | AIR CANADA |
| d. CUSIP (if any). | 008911BF5 |
| At least one of the following other identifiers: |
| - ISIN | US008911BF52 |
| - Ticker (if ISIN is not available). | ACDVF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZP9Y0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4250100.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5390657569 |
| 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. | 2025-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | AIR CANADA | AIR CANADA | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| ISIN (if CUSIP is not available) | CA0089118776 | ||
| Ticker (if CUSIP and ISIN are not available) | AC | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BSDHYK1 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 65.1337000000 | 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: 592 |
| a. Name of issuer (if any). | United Wholesale Mortgage LLC |
| b. LEI (if any) of issuer. (1) | 549300HW662MN1WU8550 |
| c. Title of the issue or description of the investment. | UNITED WHOLESALE MTGE LL |
| d. CUSIP (if any). | 913229AA8 |
| At least one of the following other identifiers: |
| - ISIN | US913229AA80 |
| - Ticker (if ISIN is not available). | UNWM51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG46T7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 310000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 303601.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0385076178 |
| 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. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 593 |
| a. Name of issuer (if any). | Univar Solutions USA Inc/Washington |
| b. LEI (if any) of issuer. (1) | 5493008FTB9VZW6CVA82 |
| c. Title of the issue or description of the investment. | UNIVAR SOLUTIONS USA INC |
| d. CUSIP (if any). | 91337CAA4 |
| At least one of the following other identifiers: |
| - ISIN | US91337CAA45 |
| - Ticker (if ISIN is not available). | UNVR49 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL0MJC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 220386.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0279529586 |
| 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. | 2027-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 594 |
| a. Name of issuer (if any). | JELD-WEN Inc |
| b. LEI (if any) of issuer. (1) | 549300XWE6NM0N1HFW16 |
| c. Title of the issue or description of the investment. | JELD-WEN INC |
| d. CUSIP (if any). | 475795AC4 |
| At least one of the following other identifiers: |
| - ISIN | US475795AC41 |
| - Ticker (if ISIN is not available). | JELD45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF4PG96 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 354518.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0449657146 |
| 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. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 595 |
| a. Name of issuer (if any). | JetBlue 2020-1 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JETBLUE 2020-1 CLASS B |
| d. CUSIP (if any). | 477164AB3 |
| At least one of the following other identifiers: |
| - ISIN | US477164AB33 |
| - Ticker (if ISIN is not available). | JBLU50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDFLF7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 241696.8300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 284211.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0360482294 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 596 |
| a. Name of issuer (if any). | Air Canada 2015-2 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AIR CANADA 2015-2B PTT |
| d. CUSIP (if any). | 009088AC9 |
| At least one of the following other identifiers: |
| - ISIN | US009088AC93 |
| - Ticker (if ISIN is not available). | ACDVF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0BPV3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 71999.8000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 73629.1600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0093388294 |
| 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. | 2025-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 597 |
| a. Name of issuer (if any). | Air Canada 2015-1 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AIR CANADA 2015-1B PTT |
| d. CUSIP (if any). | 009090AB7 |
| At least one of the following other identifiers: |
| - ISIN | US009090AB74 |
| - Ticker (if ISIN is not available). | ACDVF4 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BVYPCK1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 437828.2900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 441532.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0560022010 |
| 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. | 2024-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 598 |
| a. Name of issuer (if any). | Upstart Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300WNB47JRNENIC75 |
| c. Title of the issue or description of the investment. | UPSTART HOLDINGS INC |
| d. CUSIP (if any). | 91680MAA5 |
| At least one of the following other identifiers: |
| - ISIN | US91680MAA53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH82R1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6641450.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8423750668 |
| 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. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | UPSTART HOLDINGS INC | UPSTART HOLDINGS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 91680M107 | ||
| ISIN (if CUSIP is not available) | US91680M1071 | ||
| Ticker (if CUSIP and ISIN are not available) | UPST | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BL53QN5 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 3.5056000000 | 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: 599 |
| a. Name of issuer (if any). | VFH Parent LLC |
| b. LEI (if any) of issuer. (1) | 549300FRO9M476YHHY64 |
| c. Title of the issue or description of the investment. | VFH PARENT LLC |
| d. CUSIP (if any). | 91820UAQ3 |
| At least one of the following other identifiers: |
| - ISIN | US91820UAQ31 |
| Balance. (2) |
| a. Balance | 288031.3800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 287783.6700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0365013345 |
| 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. | 2026-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.088 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 600 |
| a. Name of issuer (if any). | John Bean Technologies Corp |
| b. LEI (if any) of issuer. (1) | 5493007CT6ATBZ2L6826 |
| c. Title of the issue or description of the investment. | JOHN BEAN TECHNOLOGIES C |
| d. CUSIP (if any). | 477839AA2 |
| At least one of the following other identifiers: |
| - ISIN | US477839AA21 |
| - Ticker (if ISIN is not available). | JBT519 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0ZBC4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5190135.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6582960524 |
| 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. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | JOHN BEAN TECHNOLOGIES C | JOHN BEAN TECHNOLOGIES C | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 477839104 | ||
| ISIN (if CUSIP is not available) | US4778391049 | ||
| Ticker (if CUSIP and ISIN are not available) | JBT | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | B3BRJZ8 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 5.8958000000 | 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: 601 |
| a. Name of issuer (if any). | KBR Inc |
| b. LEI (if any) of issuer. (1) | 254900OFQDXZRKRCV808 |
| c. Title of the issue or description of the investment. | KBR INC |
| d. CUSIP (if any). | 48242WAC0 |
| At least one of the following other identifiers: |
| - ISIN | US48242WAC01 |
| - Ticker (if ISIN is not available). | KBR504 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMT6QL5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 307323.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0389796253 |
| 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. | 2028-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 602 |
| a. Name of issuer (if any). | VOC Escrow Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VOC ESCROW LTD |
| d. CUSIP (if any). | 91832VAA2 |
| At least one of the following other identifiers: |
| - ISIN | US91832VAA26 |
| - Ticker (if ISIN is not available). | VIKH45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFYV7L3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 275000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 274015.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0347550347 |
| 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. | 5.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 603 |
| a. Name of issuer (if any). | Bausch Health Americas Inc |
| b. LEI (if any) of issuer. (1) | KOO0397YRO83WY5MGD97 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH AMERICAS |
| d. CUSIP (if any). | 91911XAW4 |
| At least one of the following other identifiers: |
| - ISIN | US91911XAW48 |
| - Ticker (if ISIN is not available). | BHC463 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFY2Z12 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 770000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 819749.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1039737871 |
| 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. | 2027-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 604 |
| a. Name of issuer (if any). | Alaska Airlines 2020-1 Class A Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALASKA AIRLINES 2020 TR |
| d. CUSIP (if any). | 01166VAA7 |
| At least one of the following other identifiers: |
| - ISIN | US01166VAA70 |
| - Ticker (if ISIN is not available). | ALK500 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9MQD5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 285699.6500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 317440.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0402629369 |
| 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. | 4.800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 605 |
| a. Name of issuer (if any). | Alaska Airlines 2020-1 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALASKA AIR 2020-1 CL B |
| d. CUSIP (if any). | 01166WAA5 |
| At least one of the following other identifiers: |
| - ISIN | US01166WAA53 |
| - Ticker (if ISIN is not available). | ALK500 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKWG1W4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195574.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 220445.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0279603848 |
| 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. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 606 |
| a. Name of issuer (if any). | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALBERTSONS COS/SAFEWAY |
| d. CUSIP (if any). | 013092AC5 |
| At least one of the following other identifiers: |
| - ISIN | US013092AC57 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK0SQV6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 340000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 356211.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0451804099 |
| 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. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 607 |
| a. Name of issuer (if any). | New Albertsons LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEW ALBERTSONS LP |
| d. CUSIP (if any). | 013104AC8 |
| At least one of the following other identifiers: |
| - ISIN | US013104AC87 |
| - Ticker (if ISIN is not available). | ABS370 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2825643 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 177000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 203765.9400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0258448603 |
| 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. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 608 |
| a. Name of issuer (if any). | Valvoline Inc |
| b. LEI (if any) of issuer. (1) | 549300CMHPBEY6VPOT75 |
| c. Title of the issue or description of the investment. | VALVOLINE INC |
| d. CUSIP (if any). | 92047WAG6 |
| At least one of the following other identifiers: |
| - ISIN | US92047WAG69 |
| - Ticker (if ISIN is not available). | VVV509 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTS6P5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 134000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131286.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0166518568 |
| 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. | 2031-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.625 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 609 |
| a. Name of issuer (if any). | Vector Group Ltd |
| b. LEI (if any) of issuer. (1) | 549300TUIF4WWN6NDN50 |
| c. Title of the issue or description of the investment. | VECTOR GROUP LTD |
| d. CUSIP (if any). | 92240MBL1 |
| At least one of the following other identifiers: |
| - ISIN | US92240MBL19 |
| - Ticker (if ISIN is not available). | VGR511 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMQ7TP6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 415000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 414456.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0525679928 |
| 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. | 5.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 610 |
| a. Name of issuer (if any). | Howmet Aerospace Inc |
| b. LEI (if any) of issuer. (1) | 549300HO5WFZUT5N2T22 |
| c. Title of the issue or description of the investment. | HOWMET AEROSPACE INC |
| d. CUSIP (if any). | 013817AW1 |
| At least one of the following other identifiers: |
| - ISIN | US013817AW16 |
| - Ticker (if ISIN is not available). | ARNC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQWJT65 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 326000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 359522.5800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0456004122 |
| 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. | 5.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 611 |
| a. Name of issuer (if any). | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALLIANT HOLD / CO-ISSUER |
| d. CUSIP (if any). | 01883LAB9 |
| At least one of the following other identifiers: |
| - ISIN | US01883LAB99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXWDZ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 65054.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0082512664 |
| 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. | 2027-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 612 |
| a. Name of issuer (if any). | Venture Global Calcasieu Pass LLC |
| b. LEI (if any) of issuer. (1) | 549300GKHS6RS20NLH85 |
| c. Title of the issue or description of the investment. | VENTURE GLOBAL CALCASIEU |
| d. CUSIP (if any). | 92328MAA1 |
| At least one of the following other identifiers: |
| - ISIN | US92328MAA18 |
| - Ticker (if ISIN is not available). | VNGB52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXTTB1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 66263.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084046111 |
| 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. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 613 |
| a. Name of issuer (if any). | Venture Global Calcasieu Pass LLC |
| b. LEI (if any) of issuer. (1) | 549300GKHS6RS20NLH85 |
| c. Title of the issue or description of the investment. | VENTURE GLOBAL CALCASIEU |
| d. CUSIP (if any). | 92328MAB9 |
| At least one of the following other identifiers: |
| - ISIN | US92328MAB90 |
| - Ticker (if ISIN is not available). | VNGB52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMY9R27 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 67387.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0085471558 |
| 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. | 2031-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 614 |
| a. Name of issuer (if any). | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ALLIANT HOLD / CO-ISSUER |
| d. CUSIP (if any). | 01883LAD5 |
| At least one of the following other identifiers: |
| - ISIN | US01883LAD55 |
| - Ticker (if ISIN is not available). | ALIN52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNBR237 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 65000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 65486.8500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0083060912 |
| 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. | 2029-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 615 |
| a. Name of issuer (if any). | Allison Transmission Inc |
| b. LEI (if any) of issuer. (1) | MWKQ3I0U1GXP2YDSZW75 |
| c. Title of the issue or description of the investment. | ALLISON TRANSMISSION INC |
| d. CUSIP (if any). | 019736AE7 |
| At least one of the following other identifiers: |
| - ISIN | US019736AE70 |
| - Ticker (if ISIN is not available). | ALNS45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD6NJY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 230000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 239581.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0303876013 |
| 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. | 2027-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 616 |
| a. Name of issuer (if any). | Ally Financial Inc |
| b. LEI (if any) of issuer. (1) | 549300JBN1OSM8YNAI90 |
| c. Title of the issue or description of the investment. | ALLY FINANCIAL INC |
| d. CUSIP (if any). | 02005NBN9 |
| At least one of the following other identifiers: |
| - ISIN | US02005NBN93 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0ZM87 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 127570.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0161804707 |
| 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 |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.700 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 617 |
| a. Name of issuer (if any). | Alphatec Holdings Inc |
| b. LEI (if any) of issuer. (1) | 549300EZE8CQ8K65FS24 |
| c. Title of the issue or description of the investment. | ALPHATEC HOLDINGS INC |
| d. CUSIP (if any). | 02081GAA0 |
| At least one of the following other identifiers: |
| - ISIN | US02081GAA04 |
| - Ticker (if ISIN is not available). | ATEC52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCH5N0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4558717.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5782095715 |
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.750 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. 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 | ALPHATEC HOLDINGS INC | ALPHATEC HOLDINGS INC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 02081G201 | ||
| ISIN (if CUSIP is not available) | US02081G2012 | ||
| Ticker (if CUSIP and ISIN are not available) | ATEC | ||
| Other identifier (if CUSIP, ISIN, and ticker are not available) | BD60BG7 Description: SEDOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 54.5316000000 | 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: 618 |
| a. Name of issuer (if any). | Altice France SA/France |
| b. LEI (if any) of issuer. (1) | 5493001ZMCICV4N02J21 |
| c. Title of the issue or description of the investment. | ALTICE FRANCE SA |
| d. CUSIP (if any). | 02156LAH4 |
| At least one of the following other identifiers: |
| - ISIN | US02156LAH42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXJSV4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 294363.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0373358305 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
FRANCE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 619 |
| a. Name of issuer (if any). | AAdvantage Loyalty IP Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AADVANTAGE LOYALTY IP |
| d. CUSIP (if any). | 02376CBJ3 |
| At least one of the following other identifiers: |
| - ISIN | US02376CBJ36 |
| Balance. (2) |
| a. Balance | 225000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 234633.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0297599634 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.500 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 620 |
| a. Name of issuer (if any). | American Airlines 2021-1 Class B Pass Through Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AMER AIRLINE 21-1B PTT |
| d. CUSIP (if any). | 02376LAA3 |
| At least one of the following other identifiers: |
| - ISIN | US02376LAA35 |
| - Ticker (if ISIN is not available). | AAL529 |
| Balance. (2) |
| a. Balance | 121000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 121298.8700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0153850656 |
| 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. | 2032-01-11 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.950 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
| Explanatory Note Record | Note Item | Explanatory Notes |
|---|---|---|
| #1 | C.12.a | The Fund has a leverage facility that allows the lender to act as securities lending agent on the Fund's behalf. Under this facility the lender accepts only cash collateral for securities loaned on the Fund's behalf and the collateral remains with the lender to reduce the Fund's borrowing cost. A more detailed description of the Fund's leverage facility is in the Notes to Financial Statements contained in the Fund's most recent annual report. As of October 31, 2021 the cash collateral for securities lent held at the lender is $172,274,836. |
| The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
| Registrant: | Calamos Dynamic Convertible & Income Fund |
| By (Signature): | Stephen Atkins |
| Name: | Stephen Atkins |
| Title: | Treasurer |
| Date: |