Monthly Portfolio Investments Report on Form N-port (public) (nport-p)

The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549

FORM NPORT-P
Monthly Portfolio Investments Report

NPORT-P: Filer Information

Confidential ☐
Filer CIK
0001219360
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? ☐

Submission Contact Information

Name
Phone
E-Mail Address

Notification Information

Notify via Filing Website only? ☐
Notification E-mail Address
Series ID
Class (Contract) ID

NPORT-P: Part A: General Information

Item A.1. Information about the Registrant.

a. Name of Registrant
PIMCO High Income Fund
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-21311
c. CIK number of Registrant
0001219360
d. LEI of Registrant
TYNS8LL5KA936NJZN198
e. Address and telephone number of Registrant:
i. Street Address 1
1633 Broadway
ii. Street Address 2
iii. City
New York
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
10019
vii. Telephone number
(844) 337-4626

Item A.2. Information about the Series.

a. Name of Series.
N/A
b. EDGAR series identifier (if any).
c. LEI of Series.
N/A

Item A.3. Reporting period.

a. Date of fiscal year-end.
2023-06-30
b. Date as of which information is reported.
2023-03-31

Item A.4. Final filing

a. Does the Fund anticipate that this will be its final filing on Form N PORT? ☐ Yes ☒ No

NPORT-P: Part B: Information About the Fund

Report the following information for the Fund and its consolidated subsidiaries.

Item B.1. Assets and liabilities. Report amounts in U.S. dollars.

a. Total assets, including assets attributable to miscellaneous securities reported in Part D.
1044613298.720000
b. Total liabilities.
381095728.260000
c. Net assets.
663517570.460000

Item B.2. Certain assets and liabilities. Report amounts in U.S. dollars.

a. Assets attributable to miscellaneous securities reported in Part D.
0.000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
0.000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
123410947.690000
Controlled companies.
0.000000
Other affiliates.
0.000000
Others.
0.000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.000000
Controlled companies.
0.000000
Other affiliates.
0.000000
Others.
0.000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
0.000000
(ii) On a standby commitment basis:
0.000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
58050000.000000
f. Cash and cash equivalents not reported in Parts C and D.
19709161.130000

Item B.3. Portfolio level risk metrics.

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 RecordISO Currency code3 month1 year5 years10 years30 years
#1 United States Dollar
Interest Rate Risk (DV01)
-1403.47627968632.31268091238.456047181147.606250-98887.691603
Interest Rate Risk (DV100)
-155120.3451036842093.6311868989673.38341816895963.224946-7936215.319477
#2 Argentina Peso
Interest Rate Risk (DV01)
1.0059024.2322941.1937240.0000000.000000
Interest Rate Risk (DV100)
99.417579416.951884117.6018120.0000000.000000
#3 Switzerland Franc
Interest Rate Risk (DV01)
0.000000594.131426434.6676060.0000000.000000
Interest Rate Risk (DV100)
0.00000060035.46263243922.0509940.0000000.000000
#4 Dominican Republic Peso
Interest Rate Risk (DV01)
0.000000976.562054811.92871355.7295960.000000
Interest Rate Risk (DV100)
0.00000096221.53245479114.3746105349.4450300.000000
#5 Euro Member Countries
Interest Rate Risk (DV01)
371.888714-448.03125519779.520245-296.970007-3618.913478
Interest Rate Risk (DV100)
35604.57693045532.3492582101480.784999-77834.129605-322692.818926
#6 United Kingdom Pound
Interest Rate Risk (DV01)
-83.132158-101.044561-4418.565656-14512.866795-2934.662158
Interest Rate Risk (DV100)
-8049.841624-9893.893730-419007.175602-1366812.768987-252849.976155
#7 Peru Sol
Interest Rate Risk (DV01)
0.00000031.3578873.2917120.0000000.000000
Interest Rate Risk (DV100)
0.0000003106.215141326.0667780.0000000.000000
#8 Canada Dollar
Interest Rate Risk (DV01)
0.000000162.30420631.4918590.0000000.000000
Interest Rate Risk (DV100)
0.00000017561.3756003407.4309370.0000000.000000

c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Credit Spread Risk3 month1 year5 years10 years30 years
Investment grade -79.20930038356.68570051911.557500135999.048300-126261.201800
Non-Investment grade 39478.68080037473.17430083861.10950041022.0690004918.920100

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.

Item B.4. Securities lending.

a. For each borrower in any securities lending transaction, provide the following information:

Borrower Information RecordName of borrowerLEI (if any) of borrowerAggregate value of all securities on loan to the borrower
— — — —

b. Did any securities lending counterparty provide any non-cash collateral? ☐ Yes ☒ No

Item B.5. Return information.

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
#110.152584-1.1614-4.55469

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 Contracts0.000000308633.16000069872.740000159652.250000357909.550000-691348.930000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap 0.000000308633.16000069872.740000159652.250000357909.550000-691348.930000
Warrant — — — — — —
Other — — — — — —
Equity Contracts0.000000695600.7700000.000000-2662642.4000000.000000-1655369.610000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap — — — — — —
Warrant 0.000000695600.7700000.000000-2662642.4000000.000000-1655369.610000
Other — — — — — —
Foreign Exchange Contracts750844.850000-203703.050000-7681.5700004383816.3900000.000000-4551154.880000
Forward 750844.850000-203703.050000-7681.5700004383816.3900000.000000-4551154.880000
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap — — — — — —
Warrant — — — — — —
Other — — — — — —
Interest Rate Contracts0.0000001797997.0900000.000000-5269481.5800000.0000009566722.450000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap 0.0000001797997.0900000.000000-5269481.5800000.0000009566722.450000
Warrant — — — — — —
Other — — — — — —
Other Contracts — — — — — —

c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.

MonthMonthly net realized gain(loss)Monthly net change in unrealized appreciation (or depreciation)
Month 1 2882948.84000014170686.630000
Month 2 -938709.330000-8835762.620000
Month 3 -428117.100000-15275838.860000

Item B.6. Flow information.

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.

MonthTotal 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 distributionsTotal net asset value of shares redeemed or repurchased, including exchanges
Month 1 7662148.790000768710.1800000.000000
Month 2 10527686.110000760195.5500000.000000
Month 3 7966206.510000762025.2700000.000000

Item B.7. Highly Liquid Investment Minimum information.

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

Item B.8. Derivatives Transactions.

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
—

Item B.9. Derivatives Exposure for limited derivatives users.

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.
—

Item B.10. VaR information.

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.
—

NPORT-P: Part C: Schedule of Portfolio Investments

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA ALT LOAN TRUST 2006-5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB12
d. CUSIP (if any).
05950BAM6
At least one of the following other identifiers:
- ISIN
US05950BAM63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2582731.710000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
153079.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0230709

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.75471
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 2

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA ALT LOAN TRUST 2007-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1
d. CUSIP (if any).
059475AQ6
At least one of the following other identifiers:
- ISIN
US059475AQ69

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2161784.260000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
211982.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0319483

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.79471
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 3

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA ALT LOAN TRUST 2007-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2
d. CUSIP (if any).
059475AS2
At least one of the following other identifiers:
- ISIN
US059475AS26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1992803.630000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1470632.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2216419

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.20529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 4

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.15000 06/17/20-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ21FNF0P871

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
4881803.720000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.7357460

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00Y8Z8-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.150000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2030-06-17
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-1059123.100000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
24100000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
5940926.820000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 5

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.25000 09/21/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZC109X5Y4L2

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
768690.930000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1158509

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01CCZ0-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.250000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-09-21
iii. Upfront payments or receipts
Upfront payments.
289801.650000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
3200000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
478889.280000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 6

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.27000 09/11/19-5Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ590PMH8YM5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1300898.660000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1960609

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00SZ73-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.270000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-09-11
iii. Upfront payments or receipts
Upfront payments.
3618.400000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
25600000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
1297280.260000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 7

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.50000 06/17/20-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7X186XV988

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-3336585.460000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.5028632

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00Y904-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
0.500000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Euribor 6 Month ACT/360
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
6
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
6
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-06-17
iii. Upfront payments or receipts
Upfront payments.
1316604.370000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
7700000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-4653189.830000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 8

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.65000 02/26/19-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZPKVXHWZ787

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-9154057.000000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-1.3796254

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00SUE3-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
0.650000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Euribor 6 Month ACT/360
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
6
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
6
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2029-02-26
iii. Upfront payments or receipts
Upfront payments.
65487.720000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
65500000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-9219544.720000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 9

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.83000 12/09/42-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZDX751HFTM2

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1162670.900000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1752284

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01NDJ1-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.830000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-12-09
iii. Upfront payments or receipts
Upfront payments.
423822.140000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
26400000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
738848.760000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 10

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 1.25000 08/19/19-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZPMHCXRZWQ5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
4933017.690000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.7434645

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00SQI9-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.250000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2049-08-19
iii. Upfront payments or receipts
Upfront payments.
75554.020000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
18200000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
4857463.670000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 11

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.25000 06/16/21-3Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU017AN0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
788971.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1189075

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.250000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-06-16
iii. Upfront payments or receipts
Upfront payments.
38832.090000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
14250000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
750139.750000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 12

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.40000 12/18/20-4Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU012NH0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4901863.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7387692

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.400000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-12-18
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-204686.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
72000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
5106549.160000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 13

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.75000 06/16/21-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZZSH81H8DX1

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1426550.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2149982

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.750000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2031-06-16
iii. Upfront payments or receipts
Upfront payments.
517080.860000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
7300000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
909470.050000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 14

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.85000 02/01/22-5Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU017R10
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4845322.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7302478

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.850000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-02-01
iii. Upfront payments or receipts
Upfront payments.
343436.050000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
43700000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
4501886.150000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 15

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.00000 06/17/20-3Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZXZNNK88P76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
142481.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0214736

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.000000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2023-06-17
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-375866.290000
ISO Currency Code.
United States Dollar
iv. Notional amount.
17400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
518347.430000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 16

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.00000 12/16/20-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZTFF5LYN9B3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
21341.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0032164

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.000000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2030-12-16
iii. Upfront payments or receipts
Upfront payments.
666.230000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
127000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
20675.210000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 17

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2007-5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2007 5 2A3
d. CUSIP (if any).
059523AG5
At least one of the following other identifiers:
- ISIN
US059523AG55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
278930.940000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
227943.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0343538

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 18

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.35000 02/09/22-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01BTZ4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23454066.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.5348072

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.350000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-02-09
iii. Upfront payments or receipts
Upfront payments.
580679.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
139800000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
22873387.590000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 19

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.37000 08/25/21-7Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01AG98
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3061773.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4614457

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.370000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2028-08-25
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
27135000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
3061773.420000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 20

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.70000 02/01/22-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU017R02
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
66706092.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
10.0534026

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.700000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-02-01
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-4285621.490000
ISO Currency Code.
United States Dollar
iv. Notional amount.
223450000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
70991714.060000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 21

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.75000 01/22/20-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7X43ZWMGT7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15628221.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.3553591

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.750000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-01-22
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-127366.530000
ISO Currency Code.
United States Dollar
iv. Notional amount.
55100000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
15755588.140000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 22

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.87500 02/07/20-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZKDWJ9FPNM7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11034023.890000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6629588

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.875000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-02-07
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-164547.840000
ISO Currency Code.
United States Dollar
iv. Notional amount.
42480000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
11198571.730000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 23

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.00000 01/15/20-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ9NHC7NH1P7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8495086.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2803107

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.000000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-01-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-256299.240000
ISO Currency Code.
United States Dollar
iv. Notional amount.
35600000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
8751385.910000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 24

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.00000 12/15/21-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ47ZL967JG8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6797056.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.0243974

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2051-12-15
iii. Upfront payments or receipts
Upfront payments.
2124286.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
29200000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-8921342.860000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 25

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2009-R5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2009 R5 4A2 144A
d. CUSIP (if any).
05952BAL6
At least one of the following other identifiers:
- ISIN
US05952BAL62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4052543.430000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1983911.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2989991

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-10-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 26

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.00000 06/19/19-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZL5BCZQ83H0

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1889016.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2846972

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2029-06-19
iii. Upfront payments or receipts
Upfront payments.
1627460.950000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
76500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-3516477.110000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 27

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.00000 06/19/19-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZL5BCZQ83H0

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-65917.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0099345

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2029-06-19
iii. Upfront payments or receipts
Upfront payments.
59198.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
2700000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-125115.050000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 28

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.00000 06/19/19-5Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZKBMPQHBHJ3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
28614.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0043125

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
3.000000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-06-19
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-31923.170000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1900000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
60537.590000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 29

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.50000 06/19/13-31Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU006BN2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8491998.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2798453

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

2. The reference instrument is an index or custom basket. (26)
Index name.
USD-LIBOR-BBA-Bloomberg 3M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.500000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2044-06-19
iii. Upfront payments or receipts
Upfront payments.
70742176.990000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
395600000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-62250178.810000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 30

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875
d. CUSIP (if any).
ACI1T7K79
At least one of the following other identifiers:
- ISIN
XS2270393379

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1306255.610000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1968683

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-01-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 31

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625
d. CUSIP (if any).
ACI1J7WJ1
At least one of the following other identifiers:
- ISIN
XS2110110686

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9492000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
9409894.480000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
1.4181832

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 32

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR GBP SONIO/0.75000 09/21/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZG3057F4V07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
3776067.560000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.5690984

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

2. The reference instrument is an index or custom basket. (26)
Index name.
SONIA O/N Deposit Rates Swap
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
SONIA O/N Deposit Rates Swap
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United Kingdom Pound
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.750000
Payments: Base currency
United Kingdom Pound
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-09-21
iii. Upfront payments or receipts
Upfront payments.
1297363.520000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
0.000000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
13400000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
2478704.040000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 33

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625
d. CUSIP (if any).
BJSF9FII4
At least one of the following other identifiers:
- ISIN
XS2055091784

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2131000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2201097.050000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3317315

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-09-24
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 34

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR GBP SONIO/0.75000 09/21/22-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZQ7991R2RY6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1586328.650000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.2390786

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

2. The reference instrument is an index or custom basket. (26)
Index name.
SONIA O/N Deposit Rates Swap
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
SONIA O/N Deposit Rates Swap
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United Kingdom Pound
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.750000
Payments: Base currency
United Kingdom Pound
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-09-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
-6907.650000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
2700000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
1593236.300000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 35

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR GBP SONIO/2.00000 03/15/23-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ92MRVXG623

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1040557.940000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.1568245

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

2. The reference instrument is an index or custom basket. (26)
Index name.
SONIA O/N Deposit Rates Swap
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
SONIA O/N Deposit Rates Swap
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United Kingdom Pound
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.000000
Payments: Base currency
United Kingdom Pound
Payments: Amount
0.000000

ii. Termination or maturity date.
2033-03-15
iii. Upfront payments or receipts
Upfront payments.
768375.100000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
0.000000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
6900000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
272182.840000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 36

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
d. CUSIP (if any).
ACI0ZY1X9
At least one of the following other identifiers:
- ISIN
XS1752894292

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1552629.700000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.2339998

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.677
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 37

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
d. CUSIP (if any).
ACI1J42S1
At least one of the following other identifiers:
- ISIN
XS2106849727

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2230000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2164997.310000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3262909

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 38

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.25000 06/15/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZHW38T7M2J6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14856828.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.2391010

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01D6J1-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.250000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-06-15
iii. Upfront payments or receipts
Upfront payments.
4224395.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
87000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
10632433.410000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 39

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.75000 06/15/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZHW38T7M2J6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7568599.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1406781

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01H652-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.750000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-06-15
iii. Upfront payments or receipts
Upfront payments.
2569937.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
59500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
4998662.790000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 40

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
d. CUSIP (if any).
ACI1DBG64
At least one of the following other identifiers:
- ISIN
XS2031926731

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2067000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2177213.520000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3281320

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 41

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.75000 06/15/22-5Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZV1KR773RK9

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-8872426.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.3371804

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01H5P9-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.750000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-06-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-2687337.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
112200000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-6185089.710000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 42

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.00000 12/21/22-2Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01JHP2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-16380684.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.4687643

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01JHP2-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-16296720.500000
ISO Currency Code.
United States Dollar
iv. Notional amount.
370800000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-83964.330000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 43

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
d. CUSIP (if any).
ACI1R35P7
At least one of the following other identifiers:
- ISIN
XS2228919739

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
3408279.510000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.5136683

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-09-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 44

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.00000 12/21/22-7Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01JHU1
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4394414.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6622905

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01JHU1-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2029-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-5500639.400000
ISO Currency Code.
United States Dollar
iv. Notional amount.
53300000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
1106225.260000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 45

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.30000 01/17/24-2Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01KK34
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
40958.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0061729

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01KK34-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.300000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2026-01-17
iii. Upfront payments or receipts
Upfront payments.
1005.650000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
2200000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
39952.630000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 46

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.35000 01/17/24-1Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01KM73
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
168597.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0254097

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01KM73-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.350000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-17
iii. Upfront payments or receipts
Upfront payments.
1458.610000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
13700000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
167139.070000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 47

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.45000 12/20/23-1Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01KK26
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
335405.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0505497

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1London Clearing houseN/A

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01KK26-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.450000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-12-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-1967.600000
ISO Currency Code.
United States Dollar
iv. Notional amount.
27200000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
337373.520000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 48

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCO DE CREDITO DEL PERU SA
b. LEI (if any) of issuer. (1)
549300EQYQ8SCQZ4BY14
c. Title of the issue or description of the investment.
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
d. CUSIP (if any).
05971U2B2
At least one of the following other identifiers:
- ISIN
US05971U2B27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
250345.490000
f. Exchange rate.
3.762800
g. Percentage value compared to net assets of the Fund.
0.0377300

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-09-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.65
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 49

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BQKBB1NBS
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-1797616.330000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.2709222

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
78915875.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
83786641.720000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-1797616.330000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 50

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230502
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CWKBBN3T6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
17250.060000
f. Exchange rate.
0.810200
g. Percentage value compared to net assets of the Fund.
0.0025998

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
4810000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
5954323.050000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
17250.060000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 51

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WINDSTREAM HOLDINGS II, LLC 8725909B2
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
967FAL902
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
537548.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7283177.650000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0976616

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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 RecordName of counterpartyLEI (if any) of counterparty
#1NoneN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
WINDSTREAM HOLDINGS INC
Title of issue.
WINDSTREAM *BACKSTOP COMMITMENT*
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
EQTYDU9M6
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2055-09-21
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
2828391.830000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 52

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANK OF AMERICA MTGE SECS-2006-A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1
d. CUSIP (if any).
05949CRS7
At least one of the following other identifiers:
- ISIN
US05949CRS79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5535.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4882.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0007358

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.90306
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 53

Item C.1. Identification of investment.

a. Name of issuer (if any).
BARCLAYS PLC
b. LEI (if any) of issuer. (1)
213800LBQA1Y9L22JB70
c. Title of the issue or description of the investment.
BARCLAYS PLC SR UNSECURED 11/33 VAR
d. CUSIP (if any).
06738ECE3
At least one of the following other identifiers:
- ISIN
US06738ECE32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2112000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2336480.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3521355

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-11-02
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.437
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 54

Item C.1. Identification of investment.

a. Name of issuer (if any).
CLEAR CHANNEL OUTDOOR HOLDINGS INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
d. CUSIP (if any).
18453H106
At least one of the following other identifiers:
- ISIN
US18453H1068

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
754306.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
905167.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1364195

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 55

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC TRUST 2009-RR4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2009 RR4 5A2 144A
d. CUSIP (if any).
05531RAM9
At least one of the following other identifiers:
- ISIN
US05531RAM97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4225219.400000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1862979.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2807732

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 56

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC TRUST 2011-RR5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2011 RR5 12A2 144A
d. CUSIP (if any).
05534AAP6
At least one of the following other identifiers:
- ISIN
US05534AAP66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1213018.910000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1723655.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2597754

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.60434
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 57

Item C.1. Identification of investment.

a. Name of issuer (if any).
COMPEER FINANCIAL ACA
b. LEI (if any) of issuer. (1)
54930020HTACTODKHT04
c. Title of the issue or description of the investment.
COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR
d. CUSIP (if any).
20453QAA0
At least one of the following other identifiers:
- ISIN
US20453QAA04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2164806.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3262620

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 58

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ARM TR 2004-8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 14A1
d. CUSIP (if any).
07384M2D3
At least one of the following other identifiers:
- ISIN
US07384M2D34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6960.440000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6856.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0010333

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.72544
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 59

Item C.1. Identification of investment.

a. Name of issuer (if any).
BELLE HAVEN ABS CDO LTD 2006-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A
d. CUSIP (if any).
078452AA7
At least one of the following other identifiers:
- ISIN
US078452AA72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
185946964.480000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1750318.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2637939

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.47257
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 60

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
BNP PARIBAS SR UNSECURED 144A 01/33 VAR
d. CUSIP (if any).
09659W2U7
At least one of the following other identifiers:
- ISIN
US09659W2U76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1861000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1556757.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2346219

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-01-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.132
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 61

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOEING CO/THE
b. LEI (if any) of issuer. (1)
RVHJWBXLJ1RFUBSY1F30
c. Title of the issue or description of the investment.
BOEING CO SR UNSECURED 02/33 6.125
d. CUSIP (if any).
097023AU9
At least one of the following other identifiers:
- ISIN
US097023AU94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1448000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1543310.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2325952

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 62

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOI FINANCE BV
b. LEI (if any) of issuer. (1)
724500ZH3H2YACBUNF38
c. Title of the issue or description of the investment.
BOI FINANCE BV 02/27 7.5
d. CUSIP (if any).
ACI23L5Y2
At least one of the following other identifiers:
- ISIN
XS2348767323

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2784917.640000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.4197203

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 63

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES 2018-2A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMS 2018 2A SUB 144A
d. CUSIP (if any).
14317QAC5
At least one of the following other identifiers:
- ISIN
US14317QAC50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1304430.080000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1965931

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-10-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 64

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-1 LTD 14-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 1A SUB 144A
d. CUSIP (if any).
ACI18MPH2
At least one of the following other identifiers:
- ISIN
XS1032522291

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
250062.980000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0376875

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 65

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-3 DAC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 3A SUB 144A
d. CUSIP (if any).
ACI18FBB5
At least one of the following other identifiers:
- ISIN
XS1111617632

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
699305.570000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1053937

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 66

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARNIVAL CORPORATION
b. LEI (if any) of issuer. (1)
F1OF2ZSX47CR0BCWA982
c. Title of the issue or description of the investment.
CARNIVAL CORPORATION EUR TERM LOAN B
d. CUSIP (if any).
P2121YAP3
At least one of the following other identifiers:
- ISIN
XAP2121YAP33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2455808.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2630032.070000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3963772

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PANAMA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.655
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 67

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED 144A 04/27 7.75
d. CUSIP (if any).
ACI1WM066
At least one of the following other identifiers:
- ISIN
XS2324372510

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
924536.160000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1393386

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 68

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED 144A 04/27 8.75
d. CUSIP (if any).
12531TAF6
At least one of the following other identifiers:
- ISIN
US12531TAF66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7789000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6503347.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9801319

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 69

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED REGS 04/27 7.75
d. CUSIP (if any).
ACI1WLTT7
At least one of the following other identifiers:
- ISIN
XS2324372270

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
369814.460000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0557354

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 70

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHASE MORGAGE FINANCE CORP 2005-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2
d. CUSIP (if any).
16162WPE3
At least one of the following other identifiers:
- ISIN
US16162WPE39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7730.280000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7015.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0010573

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.94089
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 71

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHASE MORTGAGE FINANCE CORP 2006-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1
d. CUSIP (if any).
16163CAN2
At least one of the following other identifiers:
- ISIN
US16163CAN20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
40751.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33353.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0050268

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.70515
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 72

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHASE MORTGAGE FINANCE CORP 2006-S1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A2
d. CUSIP (if any).
16162WQY8
At least one of the following other identifiers:
- ISIN
US16162WQY83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
878.590000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
563.470000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000849

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 73

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHS/COMMUNITY HEALTH SYSTEMS INC
b. LEI (if any) of issuer. (1)
5493007X5NC5XI1BB106
c. Title of the issue or description of the investment.
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8
d. CUSIP (if any).
12543DBC3
At least one of the following other identifiers:
- ISIN
US12543DBC39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9394000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9088695.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3697746

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 74

Item C.1. Identification of investment.

a. Name of issuer (if any).
CIFC FUNDING LTD 2014-2RA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CIFC FUNDING LTD CIFC 2014 2RA INC 144A
d. CUSIP (if any).
125475AA1
At least one of the following other identifiers:
- ISIN
US125475AA17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
884596.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1333192

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-04-24
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 75

Item C.1. Identification of investment.

a. Name of issuer (if any).
CIFC FUNDING LTD 2014-3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CIFC FUNDING LTD CIFC 2014 3A INC 144A
d. CUSIP (if any).
12549TAA7
At least one of the following other identifiers:
- ISIN
US12549TAA79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
621109.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0936086

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 76

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
d. CUSIP (if any).
17311QBN9
At least one of the following other identifiers:
- ISIN
US17311QBN97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2122607.870000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
975525.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1470233

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.0843
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 77

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
d. CUSIP (if any).
17311QAE0
At least one of the following other identifiers:
- ISIN
US17311QAE08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
724792.930000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
333120.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0502053

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.0843
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 78

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MORTGAGE LOAN TRUST 2009-9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A
d. CUSIP (if any).
17315XAH4
At least one of the following other identifiers:
- ISIN
US17315XAH44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2367404.040000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1406603.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2119918

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 79

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MORTGAGE LOAN TRUST 2014-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 6 3A3 144A
d. CUSIP (if any).
17322WAK0
At least one of the following other identifiers:
- ISIN
US17322WAK09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9778198.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5508428.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8301859

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.86409
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 80

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MTGE LOAN TR INC 2007-AR8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 2A1A
d. CUSIP (if any).
17313FAR3
At least one of the following other identifiers:
- ISIN
US17313FAR38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
36539.940000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
31336.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0047228

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.61858
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 81

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
d. CUSIP (if any).
14986DAJ9
At least one of the following other identifiers:
- ISIN
US14986DAJ90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
135105.830000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
121230.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0182709

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.688
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 82

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITY OF BUENOS AIRES
b. LEI (if any) of issuer. (1)
5299007MC8RF52X0ON96
c. Title of the issue or description of the investment.
CITY OF BUENOS AIRES UNSECURED 02/28 VAR
d. CUSIP (if any).
ACI0Z1129
At least one of the following other identifiers:
- ISIN
ARCBAS3201J5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34625919.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
90794.010000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0136837

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
73.0907
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 83

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITY OF BUENOS AIRES
b. LEI (if any) of issuer. (1)
5299007MC8RF52X0ON96
c. Title of the issue or description of the investment.
CITY OF BUENOS AIRES UNSECURED 03/24 VAR
d. CUSIP (if any).
BD8QV0II3
At least one of the following other identifiers:
- ISIN
ARCBAS3201F3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
47730490.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
117923.960000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0177725

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-03-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
72.8563
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 84

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITY OF CHICAGO
b. LEI (if any) of issuer. (1)
T5UYO5SYLC8K73MJQX30
c. Title of the issue or description of the investment.
CHICAGO IL CHI 01/40 FIXED 6.257
d. CUSIP (if any).
167486HN2
At least one of the following other identifiers:
- ISIN
US167486HN22

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11341059.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.7092327

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.257
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 85

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITY OF CHICAGO
b. LEI (if any) of issuer. (1)
T5UYO5SYLC8K73MJQX30
c. Title of the issue or description of the investment.
CHICAGO IL CHI 01/40 FIXED 7.517
d. CUSIP (if any).
167486MK2
At least one of the following other identifiers:
- ISIN
US167486MK28

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2805000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3235819.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4876766

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.517
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 86

Item C.1. Identification of investment.

a. Name of issuer (if any).
CLAVEAU RE LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CLAVEAU RE LTD UNSECURED 144A 07/28 VAR
d. CUSIP (if any).
182896AA8
At least one of the following other identifiers:
- ISIN
US182896AA84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
904230.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1362782

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-07-08
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
17.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 87

Item C.1. Identification of investment.

a. Name of issuer (if any).
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
d. CUSIP (if any).
20173WAH1
At least one of the following other identifiers:
- ISIN
US20173WAH16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2022971.010000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
511912.810000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0771514

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.20988
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 88

Item C.1. Identification of investment.

a. Name of issuer (if any).
CORK STREET CLO DESIGNATED ACTIVITY CO 1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A
d. CUSIP (if any).
ACI0QPJC5
At least one of the following other identifiers:
- ISIN
XS1319592900

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
700297.340000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
220754.020000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0332703

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-11-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 89

Item C.1. Identification of investment.

a. Name of issuer (if any).
CORSAIR INTERNATIONAL LIMITED
b. LEI (if any) of issuer. (1)
213800F3PS68ENYG4O41
c. Title of the issue or description of the investment.
CORSAIR INTERNATIONAL UNSECURED REGS 01/27 VAR
d. CUSIP (if any).
ACI2363S0
At least one of the following other identifiers:
- ISIN
XS2412044302

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1068232.400000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1609953

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JERSEY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-01-28
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.772
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 90

Item C.1. Identification of investment.

a. Name of issuer (if any).
COSAINT RE PTE LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COSAINT RE PTE LTD BONDS 144A 04/28 VAR
d. CUSIP (if any).
22112CAA0
At least one of the following other identifiers:
- ISIN
US22112CAA09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
988631.400000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
755067.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1137976

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SINGAPORE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-03
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.51
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 91

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALT LOAN TRUST 2006-36T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7
d. CUSIP (if any).
02146XAF5
At least one of the following other identifiers:
- ISIN
US02146XAF50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2139656.960000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1030826.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1553578

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 92

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2005-J2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J2 1A6
d. CUSIP (if any).
12667F6B6
At least one of the following other identifiers:
- ISIN
US12667F6B60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1997299.360000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
73563.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0110869

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.15471
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 93

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1
d. CUSIP (if any).
021467AA3
At least one of the following other identifiers:
- ISIN
US021467AA34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
605416.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
307137.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0462892

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 94

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A13
d. CUSIP (if any).
02149JAN6
At least one of the following other identifiers:
- ISIN
US02149JAN63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2732501.630000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1034629.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1559309

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 95

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1
d. CUSIP (if any).
02149DAN9
At least one of the following other identifiers:
- ISIN
US02149DAN93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
89272.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
74147.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0111749

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.97277
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 96

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4
d. CUSIP (if any).
23245LAD2
At least one of the following other identifiers:
- ISIN
US23245LAD29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1332961.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
608896.380000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0917679

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 97

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC9 A3
d. CUSIP (if any).
23245GAD3
At least one of the following other identifiers:
- ISIN
US23245GAD34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1673286.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1331474.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2006690

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.34529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 98

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ASSET-BACKED CERT 2006-11
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 MV1
d. CUSIP (if any).
12666TAL0
At least one of the following other identifiers:
- ISIN
US12666TAL08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12433187.820000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9977326.130000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.5037019

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.11529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 99

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2006-HYB5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1
d. CUSIP (if any).
170256AD3
At least one of the following other identifiers:
- ISIN
US170256AD31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
231485.440000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
195670.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0294899

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.51219
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 100

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2007-HY4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1
d. CUSIP (if any).
17025RAA3
At least one of the following other identifiers:
- ISIN
US17025RAA32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16407.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13980.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0021070

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.63112
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 101

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS MORTGAGE PASS-THROUGH TRUST 2006-18
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2006 18 2A2
d. CUSIP (if any).
12543WAD0
At least one of the following other identifiers:
- ISIN
US12543WAD02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1660951.750000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
95844.890000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0144450

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.50471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 102

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT AGRICOLE SA
b. LEI (if any) of issuer. (1)
969500TJ5KRTCJQWXH05
c. Title of the issue or description of the investment.
CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
F22797RT7
At least one of the following other identifiers:
- ISIN
USF22797RT78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
245997.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0370747

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-01-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE AG/NEW YORK BRANCH
b. LEI (if any) of issuer. (1)
549300D0YARF5HYP1809
c. Title of the issue or description of the investment.
CREDIT SUISSE NEW YORK SR UNSECURED 02/28 7.5
d. CUSIP (if any).
22550L2M2
At least one of the following other identifiers:
- ISIN
US22550L2M24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4675000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7045782

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG JR SUB 144A
d. CUSIP (if any).
225401AJ7
At least one of the following other identifiers:
- ISIN
US225401AJ72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0034664

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2099-12-31
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG COCO JRSUB 144A
d. CUSIP (if any).
225401AK4
At least one of the following other identifiers:
- ISIN
US225401AK46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0017332

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2099-12-31
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR
d. CUSIP (if any).
225401AY4
At least one of the following other identifiers:
- ISIN
US225401AY40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
484447.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0730120

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.373
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR
d. CUSIP (if any).
225401AV0
At least one of the following other identifiers:
- ISIN
US225401AV01

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
696010.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1048970

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.442
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG SR UNSECURED REGS 03/29 VAR
d. CUSIP (if any).
ACI2B33K5
At least one of the following other identifiers:
- ISIN
CH1214797172

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
3087816.510000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.4653707

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CS FIRST BOSTON MTGE SEC CORP 2005-12
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1
d. CUSIP (if any).
225470RY1
At least one of the following other identifiers:
- ISIN
US225470RY13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1262386.900000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
797335.430000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1201679

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CVC CORDATUS LOAN FUND VI DAC 6A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CORDATUS CLO PLC CORDA 6A SUB 144A
d. CUSIP (if any).
ACI17ZRB5
At least one of the following other identifiers:
- ISIN
XS1317342043

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
630519.670000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0950268

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
IHEARTMEDIA INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IHEARTMEDIA INC CLASS A COMMON STOCK
d. CUSIP (if any).
45174J509
At least one of the following other identifiers:
- ISIN
US45174J5092

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
178528.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
696259.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1049346

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
IHEARTMEDIA INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IHEARTMEDIA INC CLASS B COMMON STOCK
d. CUSIP (if any).
45174J608
At least one of the following other identifiers:
- ISIN
US45174J6082

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
138545.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
486292.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0732901

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DIAMOND SPORTS GROUP LLC
b. LEI (if any) of issuer. (1)
5493002K6DHWNZH8YA34
c. Title of the issue or description of the investment.
DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN
d. CUSIP (if any).
25277BAE8
At least one of the following other identifiers:
- ISIN
US25277BAE83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13888819.210000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13107573.130000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9754674

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12.7755
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DIRECTV FINANCING LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DIRECTV FINANCING LLC TERM LOAN
d. CUSIP (if any).
25460HAB8
At least one of the following other identifiers:
- ISIN
US25460HAB87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2575402.890000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2484388.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3744269

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-08-02
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISH DBS CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DISH DBS CORP SR SECURED 144A 12/26 5.25
d. CUSIP (if any).
25470XBE4
At least one of the following other identifiers:
- ISIN
US25470XBE40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3838896.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5785673

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISH DBS CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DISH DBS CORP SR SECURED 144A 12/28 5.75
d. CUSIP (if any).
25470XBF1
At least one of the following other identifiers:
- ISIN
US25470XBF15

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7850000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5872781.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8850981

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISH NETWORK CORPORATION
b. LEI (if any) of issuer. (1)
529900U350CWHH15G169
c. Title of the issue or description of the investment.
DISH NETWORK CORP SR UNSECURED 08/26 3.375
d. CUSIP (if any).
25470MAB5
At least one of the following other identifiers:
- ISIN
US25470MAB54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2652000.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3996880

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

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 RecordName of issuerTitle of issueCurrency in which denominated
#1DISH NETWORK CORPORATIONDISH NETWORK CORP-A United States Dollar
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) US25470M1099

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#115.3429 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISTRICT OF COLUMBIA
b. LEI (if any) of issuer. (1)
549300HWFOZXPKGOX654
c. Title of the issue or description of the investment.
DIST OF COLUMBIA REVENUE DISREV 10/35 FIXED OID 7.625
d. CUSIP (if any).
25483VEC4
At least one of the following other identifiers:
- ISIN
US25483VEC46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9740000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10966177.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6527335

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-01
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 RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT SA
b. LEI (if any) of issuer. (1)
549300YV2L21F4K80V46
c. Title of the issue or description of the investment.
INTELSAT EMERGENCE SA COMMON STOCK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445093128

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
221868.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5435766.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8192347

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DOMINICAN REPUBLIC GOVT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DOM REP CB NOTES NOTES 144A 01/26 13
d. CUSIP (if any).
25714PEU8
At least one of the following other identifiers:
- ISIN
US25714PEU84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
178200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
3255347.840000
f. Exchange rate.
54.750000
g. Percentage value compared to net assets of the Fund.
0.4906197

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
DOMINICAN REPUBLIC
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DOMINICAN REPUBLIC GOVT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DOM REP CB NOTES NOTES 144A 12/25 13
d. CUSIP (if any).
25714PER5
At least one of the following other identifiers:
- ISIN
US25714PER55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
167100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
3052695.730000
f. Exchange rate.
54.750000
g. Percentage value compared to net assets of the Fund.
0.4600776

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
DOMINICAN REPUBLIC
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-12-05
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DOMINICAN REPUBLIC GOVT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DOMINICAN REPUBLIC SR UNSECURED 144A 02/33 13.625
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US25714PES39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
710152.010000
f. Exchange rate.
54.750000
g. Percentage value compared to net assets of the Fund.
0.1070284

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
DOMINICAN REPUBLIC
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-03
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)
b. LEI (if any) of issuer. (1)
9845009A70B44Q680820
c. Title of the issue or description of the investment.
DTEK ENERGY BV COMPANY GUAR REGS 12/27 7.5
d. CUSIP (if any).
ACI1XVP76
At least one of the following other identifiers:
- ISIN
XS2342930521

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2187578.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
646702.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0974658

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DUFRY ONE BV
b. LEI (if any) of issuer. (1)
7245003K5MN9U7XW0808
c. Title of the issue or description of the investment.
DUFRY ONE BV COMPANY GUAR REGS 04/26 3.625
d. CUSIP (if any).
ACI1X5JS4
At least one of the following other identifiers:
- ISIN
XS2333565815

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3691000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Switzerland Franc
e. Value. (4)
3815855.400000
f. Exchange rate.
0.915000
g. Percentage value compared to net assets of the Fund.
0.5750949

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DUKE FUNDING LTD 2003-5A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DUKE FUNDING LTD DUKEF 2003 5A 1A2 144A
d. CUSIP (if any).
264402AB4
At least one of the following other identifiers:
- ISIN
US264402AB45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13522518.430000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1883294.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2838349

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-08-07
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.47414
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
EL PASO DOWNTOWN DEVELOPMENT CORP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EL PASO TX DOWNTOWN DEV CORP S ELPDEV 08/43 FIXED 7.25
d. CUSIP (if any).
283738AE2
At least one of the following other identifiers:
- ISIN
US283738AE21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7425000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8480657.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2781361

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
EQUINITI (ARMOR HOLDCO INC)
b. LEI (if any) of issuer. (1)
254900X6HLK0YPTHHF09
c. Title of the issue or description of the investment.
ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5
d. CUSIP (if any).
04625PAA9
At least one of the following other identifiers:
- ISIN
US04625PAA93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1548853.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2334306

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ESKOM HOLDINGS SOC LTD
b. LEI (if any) of issuer. (1)
3789001900ED06F65111
c. Title of the issue or description of the investment.
ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75
d. CUSIP (if any).
S25221AC6
At least one of the following other identifiers:
- ISIN
XS0958072240

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
994200.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1498378

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SOUTH AFRICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-08-06
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
EUROSAIL PLC 2007-3X
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EUROSAIL PLC ESAIL 2007 3X D1A REGS
d. CUSIP (if any).
ACI01VU93
At least one of the following other identifiers:
- ISIN
XS0308673945

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3347179.920000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
2965539.490000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.4469421

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-06-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.51077
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
EUROSAIL PLC 2007-3X
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EUROSAIL PLC ESAIL 2007 3X E1C REGS
d. CUSIP (if any).
G3299SAF2
At least one of the following other identifiers:
- ISIN
XS0308725844

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
988083.340000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
980488.140000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.1477712

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-06-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.16077
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5
d. CUSIP (if any).
30162RAC5
At least one of the following other identifiers:
- ISIN
US30162RAC51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
125000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16378.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0024685

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2004-35
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2004 35 ST
d. CUSIP (if any).
31393XU96
At least one of the following other identifiers:
- ISIN
US31393XU960

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
149758.020000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
159348.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0240158

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2012-93
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2012 93 DI
d. CUSIP (if any).
3136A8JY7
At least one of the following other identifiers:
- ISIN
US3136A8JY72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
77803.690000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3971.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0005986

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2020-34
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2020 34 IB
d. CUSIP (if any).
3136BAHR8
At least one of the following other identifiers:
- ISIN
US3136BAHR81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3418561.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
714344.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1076602

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2020-47
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2020 47 SA
d. CUSIP (if any).
3136BATP9
At least one of the following other identifiers:
- ISIN
US3136BATP97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3355187.130000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
367743.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0554233

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.25471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE-2020-38
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2020 38 QI
d. CUSIP (if any).
3136BADX9
At least one of the following other identifiers:
- ISIN
US3136BADX95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2132153.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
388240.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0585125

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FEDERAL HOME LOAN BANK (FLHB)
b. LEI (if any) of issuer. (1)
2549001DPIFGXC1TOL40
c. Title of the issue or description of the investment.
FEDERAL HOME LOAN BANK BONDS 05/23 VAR
d. CUSIP (if any).
3130AUJN5
At least one of the following other identifiers:
- ISIN
US3130AUJN52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13099852.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9743037

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.86
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NMG PARENT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NEIMAN MARCUS USD COMMON STOCK EQUITY
d. CUSIP (if any).
967DUC905
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY0NMG4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
90604.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13999556.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.1098999

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
OCP CLO LTD 2016-11A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OCP CLO 2016 11 LTD PREFERRED STOCK 04/28 0.00000
d. CUSIP (if any).
67092H209
At least one of the following other identifiers:
- ISIN
US67092H2094

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8700.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4323099.430000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6515426

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROMOTORA DE INFORMACIONES SA (PRISA)
b. LEI (if any) of issuer. (1)
959800U3NGPXSCQHQW54
c. Title of the issue or description of the investment.
PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1
d. CUSIP (if any).
BXC8GV902
At least one of the following other identifiers:
- ISIN
ES0171743901

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
282619.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
111412.850000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0167912

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SPAIN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORBES ENERGY SERVICES LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN
d. CUSIP (if any).
943UMZII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL0WJ922
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13229.710000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORBES ENERGY SERVICES LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN
d. CUSIP (if any).
962XCSII2
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL2335778
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
953990.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.010000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.2961
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORD MOTOR COMPANY
b. LEI (if any) of issuer. (1)
20S05OYHG0MQM4VUIC57
c. Title of the issue or description of the investment.
FORD MOTOR COMPANY SR UNSECURED 05/97 7.7
d. CUSIP (if any).
345370BS8
At least one of the following other identifiers:
- ISIN
US345370BS81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11730000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11584782.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.7459647

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2097-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC 2611
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 2611 SQ
d. CUSIP (if any).
31393QYH9
At least one of the following other identifiers:
- ISIN
US31393QYH90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
22221.250000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
21023.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0031684

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-05-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.63114
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC 2820
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 2820 PI
d. CUSIP (if any).
31395CFD8
At least one of the following other identifiers:
- ISIN
US31395CFD83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
563137.970000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
79887.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0120400

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC 3003
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 3006 SU
d. CUSIP (if any).
31395WSK4
At least one of the following other identifiers:
- ISIN
US31395WSK44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
463052.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
32234.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0048581

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.41557
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 D1 144A
d. CUSIP (if any).
35563CAH1
At least one of the following other identifiers:
- ISIN
US35563CAH16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13255064.030000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7680959.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1576121

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.15595
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC REMICS 4150
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 4150 AS
d. CUSIP (if any).
3137AXYZ0
At least one of the following other identifiers:
- ISIN
US3137AXYZ00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
714109.980000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
41548.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0062619

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-02-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.51557
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC REMICS 4990
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 4990 KS
d. CUSIP (if any).
3137FUS70
At least one of the following other identifiers:
- ISIN
US3137FUS704

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3704079.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
427466.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0644243

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.25471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES-DNA1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC STACR STACR 2015 DNA1 B
d. CUSIP (if any).
3137G0EZ8
At least one of the following other identifiers:
- ISIN
US3137G0EZ87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4295946.220000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4492654.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6770965

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
14.0453
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC-3203
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 3203 SH
d. CUSIP (if any).
31397AR21
At least one of the following other identifiers:
- ISIN
US31397AR213

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
269134.620000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
35054.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0052831

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.45557
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GATEWAY CASINOS & ENTERTAINMENT LIMITED
b. LEI (if any) of issuer. (1)
549300JSKBQMMD1B3U44
c. Title of the issue or description of the investment.
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
d. CUSIP (if any).
943ZHKII3
At least one of the following other identifiers:
- ISIN
XAC3604MAQ50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1605249.210000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
1177360.920000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
0.1774423

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13.0725
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GATEWAY CASINOS & ENTERTAINMENT LIMITED
b. LEI (if any) of issuer. (1)
549300JSKBQMMD1B3U44
c. Title of the issue or description of the investment.
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
d. CUSIP (if any).
943ZERII1
At least one of the following other identifiers:
- ISIN
XAC3604MAR34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7357753.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7293372.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0991981

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
12.8035
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GHANA GOVT
b. LEI (if any) of issuer. (1)
213800PP4399SNNXZ126
c. Title of the issue or description of the investment.
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
d. CUSIP (if any).
37443GAG6
At least one of the following other identifiers:
- ISIN
US37443GAG64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
217770.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0328205

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GHANA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GHANA GOVT
b. LEI (if any) of issuer. (1)
213800PP4399SNNXZ126
c. Title of the issue or description of the investment.
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
d. CUSIP (if any).
37443GAH4
At least one of the following other identifiers:
- ISIN
US37443GAH48

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
210930.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0317897

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GHANA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GHANA GOVT
b. LEI (if any) of issuer. (1)
213800PP4399SNNXZ126
c. Title of the issue or description of the investment.
REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75
d. CUSIP (if any).
37443GAJ0
At least one of the following other identifiers:
- ISIN
US37443GAJ04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
68000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0102484

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GHANA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2061-03-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GLACIER FUNDING CDO III LTD 2005-3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GLACIER FUNDING CDO GLCR 2005 3A A1 144A
d. CUSIP (if any).
37638XAA7
At least one of the following other identifiers:
- ISIN
US37638XAA72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6310380.190000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
815635.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1229260

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.07614
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GLG EURO CLO 1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MAN GLG EURO CLO GLGE 1A SUBR 144A
d. CUSIP (if any).
ACI11ZRZ8
At least one of the following other identifiers:
- ISIN
XS1802408887

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4150000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1202212.900000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1811878

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AXIS ENERGY SERVICES HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES
d. CUSIP (if any).
942WZK900
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY009T1
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6206.670000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
205204.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0309268

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
STICHTING AK RABOBANK CERTIFICATEN
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
BJBQCWII7
At least one of the following other identifiers:
- ISIN
XS1002121454

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12890000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
13498105.850000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
2.0343253

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
78486QAJ0
At least one of the following other identifiers:
- ISIN
US78486QAJ04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13330.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0020090

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
78486QAP6
At least one of the following other identifiers:
- ISIN
US78486QAP63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6623.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0009982

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US78486QAQ47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
188000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12471.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0018797

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-134
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 134 KI
d. CUSIP (if any).
38378GBX5
At least one of the following other identifiers:
- ISIN
US38378GBX51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
156031.570000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23616.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0035593

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-09-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 JI
d. CUSIP (if any).
38378HFA9
At least one of the following other identifiers:
- ISIN
US38378HFA95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
84243.310000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10542.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0015889

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-07-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI
d. CUSIP (if any).
38378HFV3
At least one of the following other identifiers:
- ISIN
US38378HFV33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
38360.040000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5985.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0009021

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-06-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-42
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 42 I
d. CUSIP (if any).
38378JJZ6
At least one of the following other identifiers:
- ISIN
US38378JJZ66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
506368.790000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
97729.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0147291

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-03-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SYNIVERSE PFD PIK PFDJJZ917
d. CUSIP (if any).
936UVD902
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
PFDJJZ917
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2333246.360000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2198660.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3313643

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI SIENA COMMON STOCK
d. CUSIP (if any).
ACI28SXK1
At least one of the following other identifiers:
- ISIN
IT0005508921

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
886500.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1928106.060000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.2905885

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC BONDS REGS 01/33 3.9
d. CUSIP (if any).
ACI0Z3H77
At least one of the following other identifiers:
- ISIN
GR0128015725

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
122226.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
129926.860000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0195815

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC BONDS REGS 01/37 4
d. CUSIP (if any).
ACI0Z3HB8
At least one of the following other identifiers:
- ISIN
GR0133011248

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
95790.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
101190.530000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0152506

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC BONDS REGS 01/42 4.2
d. CUSIP (if any).
ACI0Z3HC6
At least one of the following other identifiers:
- ISIN
GR0138015814

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
119485.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
128780.650000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0194088

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC SR UNSECURED 144A REGS 04/27 2
d. CUSIP (if any).
ACI1LSSZ1
At least one of the following other identifiers:
- ISIN
GR0118020685

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
55000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
56181.970000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0084673

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GROSVENOR PLACE CLO BV 2015-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GROSVENOR PLACE CLO BV GROSV 2015 1A SUB 144A
d. CUSIP (if any).
39927WAV9
At least one of the following other identifiers:
- ISIN
US39927WAV90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
352168.690000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0530760

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-30
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS INVESTMENTS LIMITED
b. LEI (if any) of issuer. (1)
2221002OQ5WL5CL13X65
c. Title of the issue or description of the investment.
GENERAL SHOPPING INVEST COMPANY GUAR 144A 12/49 VAR
d. CUSIP (if any).
370837AA4
At least one of the following other identifiers:
- ISIN
US370837AA46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
114500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0172565

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS INVESTMENTS LIMITED
b. LEI (if any) of issuer. (1)
2221002OQ5WL5CL13X65
c. Title of the issue or description of the investment.
GENERAL SHOPPING INVEST COMPANY GUAR REGS 12/49 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
USG3812TAA90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
171750.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0258848

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.808
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS MORTGAGE SECURITIES CORP II 2022-GTWY
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A
d. CUSIP (if any).
36266DAA2
At least one of the following other identifiers:
- ISIN
US36266DAA28

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1194863.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1800801

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-08-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.228
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GSPA MONETIZATION TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422
d. CUSIP (if any).
36298GAA7
At least one of the following other identifiers:
- ISIN
US36298GAA76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4271676.030000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4159278.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6268529

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.422
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HARBORVIEW MORTGAGE LOAN TR 2006-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A
d. CUSIP (if any).
41161UAG7
At least one of the following other identifiers:
- ISIN
US41161UAG76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
102434.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
87214.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0131443

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-19
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.62348
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HARBORVIEW MORTGAGE LOAN TR 2006-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A
d. CUSIP (if any).
41161UAJ1
At least one of the following other identifiers:
- ISIN
US41161UAJ16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3273.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2875.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0004334

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-19
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.45825
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HCA INC
b. LEI (if any) of issuer. (1)
L3CJ6J7LJ2DX62FTXD46
c. Title of the issue or description of the investment.
HCA INC COMPANY GUAR 11/95 7.5
d. CUSIP (if any).
197677AH0
At least one of the following other identifiers:
- ISIN
US197677AH07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3462000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3802844.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5731339

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2095-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HESTIA RE LTD
b. LEI (if any) of issuer. (1)
549300QRKQ1ZKOXEMZ38
c. Title of the issue or description of the investment.
HESTIA RE LTD UNSECURED 144A 04/25 VAR
d. CUSIP (if any).
42815KAA0
At least one of the following other identifiers:
- ISIN
US42815KAA07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
939000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
774675.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1167527

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSBC HOLDINGS PLC
b. LEI (if any) of issuer. (1)
MLU0ZO3ML4LN2LL2TL39
c. Title of the issue or description of the investment.
HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR
d. CUSIP (if any).
404280DV8
At least one of the following other identifiers:
- ISIN
US404280DV88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6591760.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9934568

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-03-09
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.254
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
IM PASTOR FTH 3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PASTOR IM FTH/FTA IMPAS 3 A REGS
d. CUSIP (if any).
B0BL9JII2
At least one of the following other identifiers:
- ISIN
ES0347862007

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2659169.920000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2210235.360000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3331088

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SPAIN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-03-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.89
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
b. LEI (if any) of issuer. (1)
549300V3NU625PJUVA84
c. Title of the issue or description of the investment.
UNITI GROUP INC REIT USD.0001
d. CUSIP (if any).
91325V108
At least one of the following other identifiers:
- ISIN
US91325V1089

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
193839.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
688128.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1037092

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
INGENICO TERMINALS (POSEIDON BIDCO)
b. LEI (if any) of issuer. (1)
254900LGX7YG7Y9YM766
c. Title of the issue or description of the investment.
POSEIDON BIDCO SASU EUR TERM LOAN B
d. CUSIP (if any).
945BRXII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3971860
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7400000.010000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
7784540.250000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
1.1732229

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-07-14
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.265
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
d. CUSIP (if any).
45824TBC8
At least one of the following other identifiers:
- ISIN
US45824TBC80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16312000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14994479.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.2598467

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B
d. CUSIP (if any).
L5137LAQ8
At least one of the following other identifiers:
- ISIN
XAL5137LAQ85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4093171.750000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4059055.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6117480

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.0816
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTER MEDIA AND COMMUNICATION SPA
b. LEI (if any) of issuer. (1)
81560082CE2ED97AFD36
c. Title of the issue or description of the investment.
INTER MEDIA COMMUNICATIO SR SECURED 144A 02/27 6.75
d. CUSIP (if any).
ACI239TV9
At least one of the following other identifiers:
- ISIN
XS2439249017

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
3360539.820000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.5064734

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VICI PROPERTIES INC
b. LEI (if any) of issuer. (1)
254900RKH6RY9KCJQH63
c. Title of the issue or description of the investment.
VICI PROPERTIES INC REIT USD.01
d. CUSIP (if any).
925652109
At least one of the following other identifiers:
- ISIN
US9256521090

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
95221.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3106109.020000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4681276

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
JACKSON PARK TRUST 2019-LIC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JACKSON PARK TRUST JAX 2019 LIC E 144A
d. CUSIP (if any).
46868RAN4
At least one of the following other identifiers:
- ISIN
US46868RAN44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2011000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1524980.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2298327

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-10-14
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.2424
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
JAY PARK CLO LTD 2016-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JAY PARK CLO, LTD. JPARK 2016 1A SUB 144A
d. CUSIP (if any).
47206WAC6
At least one of the following other identifiers:
- ISIN
US47206WAC64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7502600.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1129974.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1703007

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOYAGER AVIATION HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300KHOKL1CX4NIJ92
c. Title of the issue or description of the investment.
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
d. CUSIP (if any).
942UCF009
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
92918X9D9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1009.170000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN ALTERNATIVE LN TRUST 2007-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 3A1
d. CUSIP (if any).
466287AR0
At least one of the following other identifiers:
- ISIN
US466287AR06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2783149.010000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2453748.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3698091

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.8539
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MORTGAGE TRUST 2006-S4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2006 S4 A9
d. CUSIP (if any).
46629SAJ1
At least one of the following other identifiers:
- ISIN
US46629SAJ15

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13185290.890000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2544674.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3835127

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.77471
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MORTGAGE TRUST 2008-R2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A2 144A
d. CUSIP (if any).
46632TAB1
At least one of the following other identifiers:
- ISIN
US46632TAB17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3871868.340000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2741732.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4132117

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.40961
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTMORELAND MINING HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WESTMORELAND MINING HOLDINGS L COMMON
d. CUSIP (if any).
935ZXN908
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY03452
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
88291.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
264873.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0399195

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEALAND FINANCE COMPANY BV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
d. CUSIP (if any).
N5200EAC5
At least one of the following other identifiers:
- ISIN
XAN5200EAC56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
105274.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
77639.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0117012

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-06-28
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEALAND FINANCE COMPANY BV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
d. CUSIP (if any).
N5200EAB7
At least one of the following other identifiers:
- ISIN
XAN5200EAB73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
515760.820000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
347921.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0524360

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEHMAN XS TRUST 2007-7N
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEHMAN XS TRUST LXS 2007 7N 1A1A
d. CUSIP (if any).
52524GAA0
At least one of the following other identifiers:
- ISIN
US52524GAA04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1415457.790000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1235579.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1862165

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.28529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LLOYDS BANKING GROUP PLC
b. LEI (if any) of issuer. (1)
549300PPXHEU2JF0AM85
c. Title of the issue or description of the investment.
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
ACI080964
At least one of the following other identifiers:
- ISIN
XS1043545059

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
716000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
703363.990000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1060053

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.947
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1LLOYDS BANKING GROUP PLCLLOYDS BANKING GROUP PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0008706128

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#11282.05 Euro Member Countries

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LONG BEACH MORTGAGE LOAD TR 2006-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3
d. CUSIP (if any).
542514RL0
At least one of the following other identifiers:
- ISIN
US542514RL06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
987858.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
801841.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1208470

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.22529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2018-4A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A
d. CUSIP (if any).
57109G104
At least one of the following other identifiers:
- ISIN
US57109G1040

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
24359.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1359210.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2048493

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2019-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A
d. CUSIP (if any).
57109X107
At least one of the following other identifiers:
- ISIN
US57109X1072

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6700.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
404398.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0609477

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2019-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
d. CUSIP (if any).
57109H102
At least one of the following other identifiers:
- ISIN
US57109H1023

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9700.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
744210.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1121614

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AA BOND CO LIMITED
b. LEI (if any) of issuer. (1)
2138002EPF6QVRZBMC58
c. Title of the issue or description of the investment.
AA BOND CO LTD SR SECURED REGS 07/50 5.5
d. CUSIP (if any).
ACI1JGR32
At least one of the following other identifiers:
- ISIN
XS2106054443

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
895000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1006997.000000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.1517664

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JERSEY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-07-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C
d. CUSIP (if any).
59021AAC2
At least one of the following other identifiers:
- ISIN
US59021AAC27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
623829.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
313718.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0472811

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.16529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ACE SECURITIES CORP 2006-CW1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ACE SECURITIES CORP. ACE 2006 CW1 A2C
d. CUSIP (if any).
00441QAD1
At least one of the following other identifiers:
- ISIN
US00441QAD16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1679757.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1314050.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1980430

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.12529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1
d. CUSIP (if any).
61752JAA8
At least one of the following other identifiers:
- ISIN
US61752JAA88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5509104.840000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1858734.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2801334

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.465
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY MORTGAGE TRUST-2006-16AX
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 3A1
d. CUSIP (if any).
617487AF0
At least one of the following other identifiers:
- ISIN
US617487AF06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
679601.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
253200.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0381603

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.52114
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORRISON (MARKET BIDCO FINCO PLC)
b. LEI (if any) of issuer. (1)
549300UGYX6EBVHRVG53
c. Title of the issue or description of the investment.
MARKET BIDCO FINCO PLC SR SECURED REGS 11/27 4.75
d. CUSIP (if any).
ACI261WK3
At least one of the following other identifiers:
- ISIN
XS2470988523

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
759541.540000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1144720

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-04
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORRISON (MARKET BIDCO LIMITED)
b. LEI (if any) of issuer. (1)
549300RKU7UEPSC42U63
c. Title of the issue or description of the investment.
WM MORRISON GBP TERM LOAN A
d. CUSIP (if any).
948DUDII8
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL4100543
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
2516892.910000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.3793257

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.4273
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MOUNTAIN STATES TELEPHONE & TELEGRAPH COMPANY
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MOUNTAIN STATES TEL + TE SR UNSECURED 05/30 7.375
d. CUSIP (if any).
624284BD6
At least one of the following other identifiers:
- ISIN
US624284BD65

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5130000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4065114.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6126612

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-05-01
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 RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)
b. LEI (if any) of issuer. (1)
5493002WXOPRPTXWTU06
c. Title of the issue or description of the investment.
MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B
d. CUSIP (if any).
55328HAK7
At least one of the following other identifiers:
- ISIN
US55328HAK77

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7584500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6517967.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9823353

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.2034
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATWEST GROUP PLC
b. LEI (if any) of issuer. (1)
2138005O9XJIJN4JPN90
c. Title of the issue or description of the investment.
NATWEST GROUP PLC SR UNSECURED 03/34 VAR
d. CUSIP (if any).
639057AH1
At least one of the following other identifiers:
- ISIN
US639057AH16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3422935.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5158771

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-03-02
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.016
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NEW ALBERTSONS LP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NEW ALBERTSONS LP SR UNSECURED 02/28 6.57
d. CUSIP (if any).
01310QCW3
At least one of the following other identifiers:
- ISIN
US01310QCW33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4021000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4032017.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6076731

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.57
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ADJUSTABLE RATE MORTAGE TRUST 2006-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 2 6A1
d. CUSIP (if any).
007034AQ4
At least one of the following other identifiers:
- ISIN
US007034AQ47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3122498.150000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1189662.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1792963

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.18529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NGD HOLDINGS BV
b. LEI (if any) of issuer. (1)
984500ED2ABF0UF46690
c. Title of the issue or description of the investment.
NGD HOLDINGS BV SR SECURED 12/26 6.75
d. CUSIP (if any).
ACI1XVPP6
At least one of the following other identifiers:
- ISIN
XS2342932576

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
846067.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
549943.550000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0828830

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NISSAN MOTOR CO LTD
b. LEI (if any) of issuer. (1)
353800DRBDH1LUTNAY26
c. Title of the issue or description of the investment.
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
d. CUSIP (if any).
654744AD3
At least one of the following other identifiers:
- ISIN
US654744AD34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7883714.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1881697

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JAPAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-09-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.81
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE FINANCE CO SECURED 02/28 11
d. CUSIP (if any).
65505JAC5
At least one of the following other identifiers:
- ISIN
US65505JAC53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
35064.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
38570.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0058130

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE FINANCE CO SECURED 144A 02/28 11
d. CUSIP (if any).
65505JAA9
At least one of the following other identifiers:
- ISIN
US65505JAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
25050.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27555.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0041529

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA ASSET ACCEPTANCE CORP 2006-AR2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR2 2A2
d. CUSIP (if any).
65535VUK2
At least one of the following other identifiers:
- ISIN
US65535VUK24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2737419.270000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2299676.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3465887

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.85048
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA RESECURITIZATION TRUST 2014-3R
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NOMURA RESECURITIZATION TRUST NMRR 2014 3R 2A8 144A
d. CUSIP (if any).
65540LAX1
At least one of the following other identifiers:
- ISIN
US65540LAX10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4354717.590000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3776382.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5691459

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-26
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.95526
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT DRILLING NORBE VIII/IX LTD
b. LEI (if any) of issuer. (1)
549300YNW6BY570L6488
c. Title of the issue or description of the investment.
ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35
d. CUSIP (if any).
675757AC2
At least one of the following other identifiers:
- ISIN
US675757AC26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8247.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4585.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0006911

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.35
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT DRILLING NORBE VIII/IX LTD
b. LEI (if any) of issuer. (1)
549300YNW6BY570L6488
c. Title of the issue or description of the investment.
ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35
d. CUSIP (if any).
G67106AC1
At least one of the following other identifiers:
- ISIN
USG67106AC18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3298813.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1834140.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2764267

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.35
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
b. LEI (if any) of issuer. (1)
549300L7LF2PIRAWID66
c. Title of the issue or description of the investment.
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72
d. CUSIP (if any).
G6711KAD7
At least one of the following other identifiers:
- ISIN
USG6711KAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16575406.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3812343.380000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5745656

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.72
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OIL & GAS FINANCE LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000
d. CUSIP (if any).
67576JAB7
At least one of the following other identifiers:
- ISIN
US67576JAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3371361.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3371.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0005081

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-09
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
OI S.A. - EM RECUPERAxc7xc3O JUDICIAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OI SA TERM LOAN 1
d. CUSIP (if any).
938VGYII0
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL005463
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2830237.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
222021.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0334612

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
OI S.A. - EM RECUPERAxc7xc3O JUDICIAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OI SA TERM LOAN 2
d. CUSIP (if any).
938XAMII8
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL005521
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
655085.610000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
51388.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0077449

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
OI SA (AKA: BRASIL TELECOM S/A)
b. LEI (if any) of issuer. (1)
254900YEMWCRRAGD4978
c. Title of the issue or description of the investment.
OI SA COMPANY GUAR 07/25 VAR
d. CUSIP (if any).
P7354PAA2
At least one of the following other identifiers:
- ISIN
USP7354PAA23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
20600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1615991.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2435491

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-07-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75
d. CUSIP (if any).
694308HH3
At least one of the following other identifiers:
- ISIN
US694308HH37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5076000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4082509.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6152829

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2
d. CUSIP (if any).
694308KB2
At least one of the following other identifiers:
- ISIN
US694308KB20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1831123.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2759721

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25
d. CUSIP (if any).
694308HN0
At least one of the following other identifiers:
- ISIN
US694308HN05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1700691.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2563145

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
d. CUSIP (if any).
694308GZ4
At least one of the following other identifiers:
- ISIN
US694308GZ44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1203000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
945894.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1425576

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.45
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
d. CUSIP (if any).
694308HR1
At least one of the following other identifiers:
- ISIN
US694308HR19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
424804.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0640231

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PEOPLE'S FINANCE REALTY MTGE SEC 2006-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 1A3
d. CUSIP (if any).
71103XAC8
At least one of the following other identifiers:
- ISIN
US71103XAC83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
19909495.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3921276.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5909831

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.00529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PERU LNG SRL
b. LEI (if any) of issuer. (1)
254900F70J1LOALV5K70
c. Title of the issue or description of the investment.
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
d. CUSIP (if any).
P7721BAE1
At least one of the following other identifiers:
- ISIN
USP7721BAE13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6959663.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0489042

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75
d. CUSIP (if any).
71654QCC4
At least one of the following other identifiers:
- ISIN
US71654QCC42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1098000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
714590.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1076973

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-09-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PRIME HEALTHCARE SERVICES INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25
d. CUSIP (if any).
74165HAB4
At least one of the following other identifiers:
- ISIN
US74165HAB42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6200105.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9344297

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROMOTORA DE INFORMACIONES SA (PRISA)
b. LEI (if any) of issuer. (1)
959800U3NGPXSCQHQW54
c. Title of the issue or description of the investment.
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN
d. CUSIP (if any).
945BECII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3909589
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
743972.590000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
736909.530000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1110610

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SPAIN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.305
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROMOTORA DE INFORMACIONES SA (PRISA)
b. LEI (if any) of issuer. (1)
959800U3NGPXSCQHQW54
c. Title of the issue or description of the investment.
PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN
d. CUSIP (if any).
945BEBII7
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3913649
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11663009.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
11752637.460000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
1.7712624

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SPAIN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-31
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.555
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROVINCE OF BUENOS AIRES ARGENTINA
b. LEI (if any) of issuer. (1)
549300L6AYROPOTQ4L07
c. Title of the issue or description of the investment.
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
d. CUSIP (if any).
P1910WRC5
At least one of the following other identifiers:
- ISIN
ARPBUE3205N8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
270895000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
687952.240000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.1036826

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
73.6698
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PUERTO RICO GOVT
b. LEI (if any) of issuer. (1)
549300X44HXPLJU48U63
c. Title of the issue or description of the investment.
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
d. CUSIP (if any).
74514L3T2
At least one of the following other identifiers:
- ISIN
US74514L3T29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1630651.020000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
711371.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1072122

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PUERTO RICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PUERTO RICO GOVT
b. LEI (if any) of issuer. (1)
549300X44HXPLJU48U63
c. Title of the issue or description of the investment.
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
d. CUSIP (if any).
74514L4C8
At least one of the following other identifiers:
- ISIN
US74514L4C84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4381000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1905735.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2872170

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PUERTO RICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PUERTO RICO GOVT
b. LEI (if any) of issuer. (1)
549300X44HXPLJU48U63
c. Title of the issue or description of the investment.
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
d. CUSIP (if any).
74514L4G9
At least one of the following other identifiers:
- ISIN
US74514L4G98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
18255079.640000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6161089.380000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9285495

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PUERTO RICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

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 SR SECURED 03/43 5.95
d. CUSIP (if any).
747262AM5
At least one of the following other identifiers:
- ISIN
US747262AM52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1169000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
425042.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0640590

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.95
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RENAISSANCE HOME EQUITY LOAN TR 2007-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF2
d. CUSIP (if any).
75971FAE3
At least one of the following other identifiers:
- ISIN
US75971FAE34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6524100.940000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3026431.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4561193

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.998
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RENAISSANCE HOME EQUITY LOAN TR 2007-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF3
d. CUSIP (if any).
75971FAF0
At least one of the following other identifiers:
- ISIN
US75971FAF09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5644551.250000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2617284.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3944560

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
7.238
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ASSET SEC TRUST 2006-A8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4
d. CUSIP (if any).
761119AJ5
At least one of the following other identifiers:
- ISIN
US761119AJ53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
795168.840000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
243261.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0366624

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ASSET SEC TRUST 2006-R1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2
d. CUSIP (if any).
76113MAB1
At least one of the following other identifiers:
- ISIN
US76113MAB19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
167739.230000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
52258.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0078760

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.24529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ASSET SEC TRUST 2007-A9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A6
d. CUSIP (if any).
761143AF3
At least one of the following other identifiers:
- ISIN
US761143AF32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4528491.600000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1897004.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2859011

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ALTICE FINANCING SA
b. LEI (if any) of issuer. (1)
549300DIYGW8HVDF7Q17
c. Title of the issue or description of the investment.
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
d. CUSIP (if any).
02154CAH6
At least one of the following other identifiers:
- ISIN
US02154CAH60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
972000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
773619.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1165937

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2014-1
b. LEI (if any) of issuer. (1)
549300V5D1W52HY8NO65
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
d. CUSIP (if any).
76716XAA0
At least one of the following other identifiers:
- ISIN
US76716XAA00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6354025.660000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6432656.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9694780

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-07-06
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RSA SECURITY (REDSTONE HOLDCO 2 LP)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REDSTONE HOLDCO 2 LP 2021 TERM LOAN
d. CUSIP (if any).
75774EAG0
At least one of the following other identifiers:
- ISIN
US75774EAG08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4089646.460000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3233376.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4873084

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.5677
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SANDERS RE III LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SANDERS RE III LTD UNSECURED 144A 04/29 VAR
d. CUSIP (if any).
80000XAC3
At least one of the following other identifiers:
- ISIN
US80000XAC39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1545000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1411627.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2127491

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-09
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SANDS CHINA LTD
b. LEI (if any) of issuer. (1)
549300EVO6UZDGY05787
c. Title of the issue or description of the investment.
SANDS CHINA LTD SR UNSECURED 08/28 5.9
d. CUSIP (if any).
80007RAE5
At least one of the following other identifiers:
- ISIN
US80007RAE53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1662000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1579101.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2379895

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-08
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SEGOVIA EUROPEAN CLO 1 2014-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SEGOVIA EUROPEAN CLO 1 2014 SEGOV 2014 1A SUB 144A
d. CUSIP (if any).
ACI0QFG97
At least one of the following other identifiers:
- ISIN
XS1147526229

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
533248.600000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0803669

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7
d. CUSIP (if any).
02377AAA6
At least one of the following other identifiers:
- ISIN
US02377AAA60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
978742.910000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
897726.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1352981

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375
d. CUSIP (if any).
023770AA8
At least one of the following other identifiers:
- ISIN
US023770AA81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1376757.760000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1199486.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1807770

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-11-01
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 RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SHERWOOD FUNDING CDO LTD 2004-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SHERWOOD FUNDING CDO LTD SHERW 2004 1A A1 144A
d. CUSIP (if any).
82437RAA9
At least one of the following other identifiers:
- ISIN
US82437RAA95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
31208115.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7420041.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1182886

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-11-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.23114
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BRIGHTHOUSE HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR
d. CUSIP (if any).
10924BAA5
At least one of the following other identifiers:
- ISIN
US10924BAA52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
70000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
61250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0092311

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SLM STUDENT LOAN TRUST-2007-4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SLM STUDENT LOAN TRUST SLMA 2007 4 R
d. CUSIP (if any).
78444A107
At least one of the following other identifiers:
- ISIN
US78444A1079

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1595.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
471209.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0710168

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
d. CUSIP (if any).
78448P100
At least one of the following other identifiers:
- ISIN
US78448P1003

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4508.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1395623.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2103370

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOCIETE GENERALE SA
b. LEI (if any) of issuer. (1)
O2RNE8IBXP4R0TD8PU41
c. Title of the issue or description of the investment.
SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR
d. CUSIP (if any).
83368RBS0
At least one of the following other identifiers:
- ISIN
US83368RBS04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1228650.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1851723

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-01-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.691
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH COAST FUNDING 3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUTH COAST FUNDING SCF 3A A1A 144A
d. CUSIP (if any).
83743SAN6
At least one of the following other identifiers:
- ISIN
US83743SAN62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
20918377.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1610715.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2427539

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-08-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.45929
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH COAST FUNDING 3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUTH COAST FUNDING SCF 3A A1B 144A
d. CUSIP (if any).
83743SAA4
At least one of the following other identifiers:
- ISIN
US83743SAA42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3801367.070000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
292705.260000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0441142

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-08-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.45929
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SPECIALTY UNDERWRITING & RESID 2005-BC3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M4
d. CUSIP (if any).
84751PHB8
At least one of the following other identifiers:
- ISIN
US84751PHB85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
409322.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
319971.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0482235

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.82029
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR
d. CUSIP (if any).
00846NAA5
At least one of the following other identifiers:
- ISIN
US00846NAA54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
27410000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15535974.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.3414564

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2067-01-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.54243
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
STEENBOK LUX FINCO 2 SARL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2
d. CUSIP (if any).
935YNTII0
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3165687
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16066357.920000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
11499815.880000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
1.7331592

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2005-23
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1
d. CUSIP (if any).
863579L48
At least one of the following other identifiers:
- ISIN
US863579L482

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
97064.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
59020.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0088951

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.11507
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2007-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1
d. CUSIP (if any).
86363GAF1
At least one of the following other identifiers:
- ISIN
US86363GAF19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
271671.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
129869.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0195729

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.74821
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ASSET MTGE INVEST 2006-AR6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3
d. CUSIP (if any).
86360UAC0
At least one of the following other identifiers:
- ISIN
US86360UAC09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5297567.650000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3934474.890000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5929722

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.22529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
STUBHUB (PUG LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PUG LLC USD TERM LOAN
d. CUSIP (if any).
74530DAC9
At least one of the following other identifiers:
- ISIN
US74530DAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12647035.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9232398.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3914325

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.3403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 01/25 3.5
d. CUSIP (if any).
78486QAD3
At least one of the following other identifiers:
- ISIN
US78486QAD34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
63187.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0095231

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-01-29
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 02/31 1.8
d. CUSIP (if any).
78486QAF8
At least one of the following other identifiers:
- ISIN
US78486QAF81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1375000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
784987.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1183070

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-02-02
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.8
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 04/28 VAR
d. CUSIP (if any).
78486QAR2
At least one of the following other identifiers:
- ISIN
US78486QAR20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
365046.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0550168

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.345
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 04/33 VAR
d. CUSIP (if any).
78486QAS0
At least one of the following other identifiers:
- ISIN
US78486QAS03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1045620.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1575874

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-04-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.57
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 05/28 2.1
d. CUSIP (if any).
78486QAH4
At least one of the following other identifiers:
- ISIN
US78486QAH48

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
120280.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0181276

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.1
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 06/30 3.125
d. CUSIP (if any).
78486QAE1
At least one of the following other identifiers:
- ISIN
US78486QAE17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
116280.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0175248

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-06-05
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.125
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300CYZBHMZC8VLL59
c. Title of the issue or description of the investment.
SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN
d. CUSIP (if any).
87168TAB7
At least one of the following other identifiers:
- ISIN
US87168TAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
19738617.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
17573488.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.6485341

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-05-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.8983
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TEAM HEALTH HOLDINGS INC
b. LEI (if any) of issuer. (1)
549300PVTQ4UDTTMQT11
c. Title of the issue or description of the investment.
TEAM HEALTH INC DEL TERM LOAN B
d. CUSIP (if any).
87817JAE8
At least one of the following other identifiers:
- ISIN
US87817JAE82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15083582.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12971881.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9550170

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-02-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.5903
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TELEMAR NORTE LESTE SA TERM LOAN 2
d. CUSIP (if any).
938VGTII1
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL005489
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8442461.350000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
662278.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0998133

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TELEMAR NORTE LESTE SA TERM LOAN 3
d. CUSIP (if any).
938VGUII8
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL005497
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2042274.310000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
160208.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0241453

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TELEMAR NORTE LESTE SA TERM LOAN 5
d. CUSIP (if any).
945BALII9
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL005471
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8775588.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
688411.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1037518

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOBACCO SETTLEMENT FINANCE AUTHORITY
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
d. CUSIP (if any).
88880LAB9
At least one of the following other identifiers:
- ISIN
US88880LAB99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
66200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5876276.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8856248

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-06-01
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOPAZ SOLAR FARMS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
d. CUSIP (if any).
89054XAD7
At least one of the following other identifiers:
- ISIN
US89054XAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2163428.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1785931.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2691611

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOPAZ SOLAR FARMS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
d. CUSIP (if any).
89054XAC9
At least one of the following other identifiers:
- ISIN
US89054XAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7119528.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6766897.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0198521

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UKRAINE GOVT
b. LEI (if any) of issuer. (1)
6354001WLTJXOMEXPY07
c. Title of the issue or description of the investment.
UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375
d. CUSIP (if any).
ACI1J9SD5
At least one of the following other identifiers:
- ISIN
XS2010033186

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1471000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
279177.390000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0420754

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UKRAINE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-01-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F030652
At least one of the following other identifiers:
- ISIN
US01F0306526

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
89827.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0135381

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 04/23 0.00000
d. CUSIP (if any).
912796YN3
At least one of the following other identifiers:
- ISIN
US912796YN33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1419000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1418454.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2137780

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. Treasury

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-04-06
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMSURG LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN
d. CUSIP (if any).
943TEZII7
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3922202
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21460380.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15970063.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.4068788

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
16.326
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 05/23 0.00000
d. CUSIP (if any).
912797FD4
At least one of the following other identifiers:
- ISIN
US912797FD45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2446000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2435048.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3669907

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. Treasury

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-09
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMSURG LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ENVISION HEALTHCARE CORPRTION 2022 TERM LOAN
d. CUSIP (if any).
03233AAB6
At least one of the following other identifiers:
- ISIN
US03233AAB61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8884615.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8795769.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3256272

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12.701
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ANCESTRY.COM
b. LEI (if any) of issuer. (1)
2549009ADY4208OH2Y47
c. Title of the issue or description of the investment.
ARCHES BUYER INC SR SECURED 144A 06/28 4.25
d. CUSIP (if any).
039524AA1
At least one of the following other identifiers:
- ISIN
US039524AA11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
836755.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1261089

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
d. CUSIP (if any).
91327AAB8
At least one of the following other identifiers:
- ISIN
US91327AAB89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8363000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4902808.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7389117

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5
d. CUSIP (if any).
91327BAA8
At least one of the following other identifiers:
- ISIN
US91327BAA89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1894890.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2855826

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GROUP/CSL CAPITAL SR SECURED 144A 04/28 4.75
d. CUSIP (if any).
91327BAB6
At least one of the following other identifiers:
- ISIN
US91327BAB62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2166836.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3265680

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
U.S. RENAL CARE, INC. 2019 TERM LOAN B
d. CUSIP (if any).
90290PAN4
At least one of the following other identifiers:
- ISIN
US90290PAN42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23669605.960000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16184093.080000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.4391356

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
US RENAL CARE INC 2021 TERM LOAN B
d. CUSIP (if any).
90290PAQ7
At least one of the following other identifiers:
- ISIN
US90290PAQ72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1744890.460000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1193068.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1798097

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
US RENAL CARE INC SR UNSECURED 144A 07/27 10.625
d. CUSIP (if any).
07335BAA4
At least one of the following other identifiers:
- ISIN
US07335BAA44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2860000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
755545.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1138697

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD SR SECURED 04/28 8.25
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
USG9460GAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16254.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0024497

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD SR SECURED 144A 04/28 8.25
d. CUSIP (if any).
91889FAA9
At least one of the following other identifiers:
- ISIN
US91889FAA93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1412000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1434450.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2161888

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALE SA
b. LEI (if any) of issuer. (1)
254900SMTWBX7RU2SR20
c. Title of the issue or description of the investment.
VALE SA SUBORDINATED 12/49 VAR
d. CUSIP (if any).
B011X9II2
At least one of the following other identifiers:
- ISIN
BRVALEDBS028

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
120000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
8760074.580000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
1.3202476

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-29
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.20163
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VENEZUELAN GOVT
b. LEI (if any) of issuer. (1)
529900XM8PJTJK5OJI77
c. Title of the issue or description of the investment.
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
d. CUSIP (if any).
922646AS3
At least one of the following other identifiers:
- ISIN
US922646AS37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
452000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
48590.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0073231

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VENEZUELA (BOLIVARIAN REPUBLIC OF)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VENEZUELAN GOVT
b. LEI (if any) of issuer. (1)
529900XM8PJTJK5OJI77
c. Title of the issue or description of the investment.
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
d. CUSIP (if any).
P97475AP5
At least one of the following other identifiers:
- ISIN
USP97475AP55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3740.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0005637

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VENEZUELA (BOLIVARIAN REPUBLIC OF)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-10-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VERITAS US INC
b. LEI (if any) of issuer. (1)
549300RFUWCPWS8FQ104
c. Title of the issue or description of the investment.
VERITAS US INC 2021 TERM LOAN B
d. CUSIP (if any).
G9341JAN0
At least one of the following other identifiers:
- ISIN
XAG9341JAN00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5385799.260000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4118628.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6207264

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VERITAS US INC / VERITAS BERMUDA LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5
d. CUSIP (if any).
92346LAE3
At least one of the following other identifiers:
- ISIN
US92346LAE39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4280000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3226113.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4862137

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VICI PROPERTIES LP / VICI NOTE CO INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875
d. CUSIP (if any).
92564RAL9
At least one of the following other identifiers:
- ISIN
US92564RAL96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6142000.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9256726

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-15
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 RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VIKING CRUISES LTD
b. LEI (if any) of issuer. (1)
549300IJP90T4MV2GL84
c. Title of the issue or description of the investment.
VIKING CRUISES LTD SR SECURED 144A 05/25 13
d. CUSIP (if any).
92676XAE7
At least one of the following other identifiers:
- ISIN
US92676XAE76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8353000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8830457.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3308551

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
APIDOS CDO 2014-18A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
APIDOS CLO APID 2014 18A SUB 144A
d. CUSIP (if any).
03765EAE8
At least one of the following other identifiers:
- ISIN
US03765EAE86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3120.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0004702

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOYAGER AVIATION HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300KHOKL1CX4NIJ92
c. Title of the issue or description of the investment.
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
d. CUSIP (if any).
92918XAA3
At least one of the following other identifiers:
- ISIN
US92918XAA37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7250000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5727500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8632025

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU MTGE P/T CERT 2007-HY5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1
d. CUSIP (if any).
92990GAC7
At least one of the following other identifiers:
- ISIN
US92990GAC78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
70044.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
53818.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0081111

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.34786
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
APOLLO COMMERCIAL REAL ESTATE FINANCE INC
b. LEI (if any) of issuer. (1)
549300E0AN7M2AQHSY29
c. Title of the issue or description of the investment.
APOLLO CMMRL REAL EST FI SR SECURED 144A 06/29 4.625
d. CUSIP (if any).
03762UAD7
At least one of the following other identifiers:
- ISIN
US03762UAD72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
930000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
655157.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0987400

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WASHINGTON MUTUAL ASSET BACKED 2006-HE2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE2 A3
d. CUSIP (if any).
93934JAC8
At least one of the following other identifiers:
- ISIN
US93934JAC80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
147211.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
112219.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0169129

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.14529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 2 1A10
d. CUSIP (if any).
93936HAK2
At least one of the following other identifiers:
- ISIN
US93936HAK23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7215685.060000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1283554.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1934469

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.83471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WASHINGTON MUTUAL MTGE P/T 2006-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 4CB
d. CUSIP (if any).
93934FNT5
At least one of the following other identifiers:
- ISIN
US93934FNT56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4202180.760000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2978187.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4488483

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESCO AIRCRAFT HOLDINGS INC
b. LEI (if any) of issuer. (1)
529900P5VTXZS191P208
c. Title of the issue or description of the investment.
WESCO AIRCRAFT HLDGS INC 11/26 10.5
d. CUSIP (if any).
950814AE3
At least one of the following other identifiers:
- ISIN
US950814AE30

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
662046.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
589220.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0888026

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESCO AIRCRAFT HOLDINGS INC
b. LEI (if any) of issuer. (1)
529900P5VTXZS191P208
c. Title of the issue or description of the investment.
WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5
d. CUSIP (if any).
950814AA1
At least one of the following other identifiers:
- ISIN
US950814AA18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
27009981.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24038883.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.6229460

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESCO AIRCRAFT HOLDINGS INC
b. LEI (if any) of issuer. (1)
529900P5VTXZS191P208
c. Title of the issue or description of the investment.
WESCO AIRCRAFT HOLDINGS SR UNSECURED 144A 11/26 9
d. CUSIP (if any).
97789LAB2
At least one of the following other identifiers:
- ISIN
US97789LAB27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1424000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
124600.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0187787

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WEST MARINE (RISING TIDE HOLDINGS INC)
b. LEI (if any) of issuer. (1)
254900T03WM6VU0KWL83
c. Title of the issue or description of the investment.
RISING TIDE HOLDINGS INC TERM LOAN
d. CUSIP (if any).
76770EAB3
At least one of the following other identifiers:
- ISIN
US76770EAB39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1280500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
780304.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1176012

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-06-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.7034
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTMORELAND MINING HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WESTMORELAND COAL CO PIK TERM LOAN
d. CUSIP (if any).
96106JAE9
At least one of the following other identifiers:
- ISIN
US96106JAE91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8641316.970000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6509763.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9810989

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WINDSTREAM SERVICES II LLC
b. LEI (if any) of issuer. (1)
549300KT9GVEBYCD2N29
c. Title of the issue or description of the investment.
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
d. CUSIP (if any).
97381JAE3
At least one of the following other identifiers:
- ISIN
US97381JAE38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2639488.730000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2401934.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3620002

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-21
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.157
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
b. LEI (if any) of issuer. (1)
549300L3SXBFJVGRCF66
c. Title of the issue or description of the investment.
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
d. CUSIP (if any).
97382WAA1
At least one of the following other identifiers:
- ISIN
US97382WAA18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9423000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7726860.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1645298

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
YAHOO (AKA: AP CORE HOLDINGS II LLC)
b. LEI (if any) of issuer. (1)
549300PND8ZZ4RWYRZ56
c. Title of the issue or description of the investment.
AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1
d. CUSIP (if any).
00187GAC3
At least one of the following other identifiers:
- ISIN
US00187GAC33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1147398.140000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1118713.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1686034

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.3403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
YAHOO (AKA: AP CORE HOLDINGS II LLC)
b. LEI (if any) of issuer. (1)
549300PND8ZZ4RWYRZ56
c. Title of the issue or description of the investment.
AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2
d. CUSIP (if any).
00187GAD1
At least one of the following other identifiers:
- ISIN
US00187GAD16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14150000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13808065.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.0810399

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.3403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
YOSEMITE RE LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
YOSEMITE RE LTD UNSECURED 144A 06/25 VAR
d. CUSIP (if any).
98740RAA7
At least one of the following other identifiers:
- ISIN
US98740RAA77

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
840000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
806841.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1216005

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FIXED INC CLEARING CORP.REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
85748R009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
777000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
777000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1171032

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☒ Yes ☐ No
ii. Value
Fixed Income Clearing Corp
c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
2.2000000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1642100.000000 United States Dollar 792660.260000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5256889.610000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5265354.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7935517

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2700000
e. Maturity date.
2023-07-21
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#18642000.000000 United States Dollar 6163436.660000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO WARBURG
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
975ZWH002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2266205.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-2466740.130000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.3717671

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
3.2000000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13300000.000000 Euro Member Countries 2567928.000000 Euro Member Countries

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JPM CHASE REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NTU008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-8718936.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-9546400.010000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-1.4387562

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
3.0500000
e. Maturity date.
2024-09-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#111692000.000000 Euro Member Countries 10658190.540000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PARIBAS REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NUD004
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2936449.890000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-3195806.510000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.4816461

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
3.2200000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13300000.000000 Euro Member Countries 3098700.000000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP REPO REPO 5807
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
795991009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
19600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
19600000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.9539534

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP INC.6SHGI4ZSSLCXXQSBB395

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9300000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#121870000.000000 United States Dollar 20019592.860000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DEUTSCHE BANK REPO REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
99FYXY002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
100000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0150712

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Deutsche Bank Securities Inc.9J6MBOOO7BECTDTUZW19

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9200000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1121000.000000 United States Dollar 103561.350000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CAYENNE AVIATION LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
d. CUSIP (if any).
942UCF900
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
AEP

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6055.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1403248.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2114863

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PARIBAS REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
69999A006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
32600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
32600000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.9132082

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.8900000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#148607185.030000 United States Dollar 33722650.540000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PARIBAS REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
69999A006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
43700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
43700000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
6.5861104

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.8400000
e. Maturity date.
2023-04-04
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#145461600.000000 United States Dollar 44477782.790000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REV REPO CANADIAN IMPERIAL BA
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
933NYJ004
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-790710.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-991684.670000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.1494587

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Canadian Imperial Bank of Commerce2IGI19DL77OX0HC3ZE78

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.4000000
e. Maturity date.
2024-08-04
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1850000.000000 United Kingdom Pound 775264.600000 United Kingdom Pound Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1195987.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1203841.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1814332

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.0300000
e. Maturity date.
2023-05-30
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11200000.000000 United States Dollar 1228650.900000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5641650.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5651146.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8516951

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.0500000
e. Maturity date.
2023-07-06
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16300000.000000 United States Dollar 6591760.620000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO STANDARD CHARTERE VAR 1
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
924YAU002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4053253.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4067889.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6130794

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.0000000
e. Maturity date.
2023-04-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14400000.000000 United States Dollar 4675000.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BANK OF AMERICA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLA004
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5895565.670000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5948568.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8965201

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOFA SECURITIES, INC.549300HN4UKV1E2R3U73

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.1000000
e. Maturity date.
2023-04-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16612000.000000 United States Dollar 6414264.280000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BANK OF AMERICA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLA004
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-14032577.080000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-14039020.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.1158476

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOFA SECURITIES, INC.549300HN4UKV1E2R3U73

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5100000
e. Maturity date.
2023-06-14
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#120391000.000000 United States Dollar 18940912.260000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-625386.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-629149.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0948204

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.7100000
e. Maturity date.
2023-04-06
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1900000.000000 United States Dollar 634023.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2101640.690000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2116356.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3189602

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4800000
e. Maturity date.
2023-07-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13110000.000000 United States Dollar 2326668.750000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-910594.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-915002.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1379017

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2800000
e. Maturity date.
2023-07-31
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11200000.000000 United States Dollar 1062875.170000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1899450.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1913823.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2884360

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.5400000
e. Maturity date.
2023-04-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12461000.000000 United States Dollar 1981561.890000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5952539.560000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5976915.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.9007923

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4600000
e. Maturity date.
2023-07-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#17482000.000000 United States Dollar 7330237.710000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-614586.140000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-617139.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0930103

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5400000
e. Maturity date.
2023-07-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1900000.000000 United States Dollar 751446.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-884561.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-905379.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1364515

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.7600000
e. Maturity date.
2023-04-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11238000.000000 United States Dollar 1015160.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-756617.150000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-761306.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1147379

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.8500000
e. Maturity date.
2023-04-06
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11001278.370000 United States Dollar 872354.070000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-850492.820000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-854220.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1287412

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.0900000
e. Maturity date.
2023-05-02
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11000000.000000 United States Dollar 915561.730000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-7357631.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-7386305.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.1132042

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2400000
e. Maturity date.
2023-05-02
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#18957194.540000 United States Dollar 8420713.900000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4061269.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4064152.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6125161

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.3500000
e. Maturity date.
2023-07-28
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14503000.000000 United States Dollar 4368830.080000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2003534.240000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2022719.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3048479

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5600000
e. Maturity date.
2023-07-28
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12800000.000000 United States Dollar 2166836.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4953173.630000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4992749.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7524669

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.6400000
e. Maturity date.
2023-08-04
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16184000.000000 United States Dollar 5466365.630000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2050780.230000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2065330.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3112699

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.3700000
e. Maturity date.
2023-08-11
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12100000.000000 United States Dollar 2188160.870000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1660660.630000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1671932.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2519801

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4300000
e. Maturity date.
2023-08-16
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12300000.000000 United States Dollar 1700691.850000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2606841.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2628074.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3960821

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9700000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13250000.000000 United States Dollar 2613900.150000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3836820.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3836820.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5782545

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.3200000
e. Maturity date.
2023-06-02
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#15076000.000000 United States Dollar 4082509.900000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3018308.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3018308.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4548950

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5200000
e. Maturity date.
2023-06-02
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14200000.000000 United States Dollar 3805931.260000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5739882.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5875041.010000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8854386

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9000000
e. Maturity date.
2023-04-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#17800000.000000 United States Dollar 6396000.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-800800.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-817149.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1231542

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SOCIETE GENERALEO2RNE8IBXP4R0TD8PU41

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9000000
e. Maturity date.
2023-04-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11000000.000000 United States Dollar 994200.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3340071.600000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3353774.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5054537

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4700000
e. Maturity date.
2023-06-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14800000.000000 United States Dollar 3839814.380000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2977900.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3002439.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4525034

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5600000
e. Maturity date.
2023-08-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13500000.000000 United States Dollar 3456670.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO THE BANK OF NOVA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973VSR006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1821563.730000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1863501.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2808519

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SCOTIA CAPITAL (USA) INC.549300BLWPABP1VNME36

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5000000
e. Maturity date.
2023-04-11
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12188140.010000 United States Dollar 2215218.240000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO THE BANK OF NOVA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973VSR006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-9731758.100000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-9746902.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.4689744

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SCOTIA CAPITAL (USA) INC.549300BLWPABP1VNME36

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5500000
e. Maturity date.
2023-09-20
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#115175000.000000 United States Dollar 11238311.950000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI DI SNR SE SP JPM
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZCPXBN5XVR9

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
4447.600000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0006703

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
BANCA MONTE DEI PASCHI DI SIENA SPA
Title of issue.
BANCA MONTE DEI PASCHI S
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
XS2055091784
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2025-06-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-4025.960000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
200000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
8473.560000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CBL & ASSOCIATES PROPERTIES INC
b. LEI (if any) of issuer. (1)
529900EIVFBRS4PUBZ13
c. Title of the issue or description of the investment.
CBL + ASSOCIATES PROPERTIES REIT USD.01
d. CUSIP (if any).
124830878
At least one of the following other identifiers:
- ISIN
US1248308785

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14084.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
361113.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0544241

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CHF BOUGHT USD 20230516
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BKKBBN44J
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Switzerland Franc
e. Value. (4)
-661.220000
f. Exchange rate.
0.910800
g. Percentage value compared to net assets of the Fund.
-0.0000997

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
186000.000000
Description of currency sold.
Switzerland Franc
ii. Amount and description of currency purchased.
Amount of currency purchased.
203550.650000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
-661.220000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BILLS 09/23 0.00000
d. CUSIP (if any).
ACI28ZVN1
At least one of the following other identifiers:
- ISIN
ARARGE520CV7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
194640901.150000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
465152.520000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0701040

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-18
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
d. CUSIP (if any).
ACI1QL1T4
At least one of the following other identifiers:
- ISIN
ARARGE3209S6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9018800.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2277247.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3432082

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
d. CUSIP (if any).
ACI1QL1M9
At least one of the following other identifiers:
- ISIN
ARARGE3209T4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8535000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2099695.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3164491

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CQKBBQNG7
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-1622.080000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0002445

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
497238.530000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
457000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-1622.080000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 10/26 15.5
d. CUSIP (if any).
ACI0QD081
At least one of the following other identifiers:
- ISIN
ARARGE4502K0

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
38100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
28590.770000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0043090

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-10-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
d. CUSIP (if any).
040114HU7
At least one of the following other identifiers:
- ISIN
US040114HU71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1326304.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
413770.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0623601

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-01-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
d. CUSIP (if any).
040114HX1
At least one of the following other identifiers:
- ISIN
US040114HX11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
163236.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
45583.650000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0068700

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
d. CUSIP (if any).
040114HV5
At least one of the following other identifiers:
- ISIN
US040114HV54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9486055.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2665581.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4017349

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR
d. CUSIP (if any).
040114HW3
At least one of the following other identifiers:
- ISIN
US040114HW38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
114993.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
30666.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0046219

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT BRL SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CWKBB7QS8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
3190.260000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
0.0004808

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1353113.910000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
6874359.890000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
3190.260000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD BRL BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BPKBB555N
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-30960.290000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0046661

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
6874359.890000
Description of currency sold.
Brazil Real
ii. Amount and description of currency purchased.
Amount of currency purchased.
1325343.880000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-30960.290000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CAD BOUGHT USD 20230516
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BIKBB7K39
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
12828.830000
f. Exchange rate.
1.350600
g. Percentage value compared to net assets of the Fund.
0.0019335

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1428565.540000
Description of currency sold.
Canada Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1070547.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
12828.830000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CJKBBXGXP
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-7051.780000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0010628

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
496000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
604813.470000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-7051.780000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CNKBBS49C
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-19274.920000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0029050

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1511000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
1844693.620000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-19274.920000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN BOUGHT USD 20230515
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
22KGKBB2PSQ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-61491.370000
f. Exchange rate.
3.773300
g. Percentage value compared to net assets of the Fund.
-0.0092675

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
4729013.380000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
1191787.650000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-15
iv. Unrealized appreciation or depreciation. (24)
-61491.370000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT BRL SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CKKBB9CKT
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
67578.030000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
0.0101848

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
1299623.760000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
6929593.890000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
67578.030000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CTKBBRDX0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
173204.700000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0261040

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
81500346.730000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
75309875.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
173204.700000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD BRL BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CWKBB71MN
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-3215.910000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0004847

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
6929593.890000
Description of currency sold.
Brazil Real
ii. Amount and description of currency purchased.
Amount of currency purchased.
1363985.880000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-3215.910000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD BRL BOUGHT USD 20230705
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CKKBB9CHP
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-66287.660000
f. Exchange rate.
5.155400
g. Percentage value compared to net assets of the Fund.
-0.0099903

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
7041751.420000
Description of currency sold.
Brazil Real
ii. Amount and description of currency purchased.
Amount of currency purchased.
1299623.760000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-07-05
iv. Unrealized appreciation or depreciation. (24)
-66287.660000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230502
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CTKBBRDN9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-170580.810000
f. Exchange rate.
0.920600
g. Percentage value compared to net assets of the Fund.
-0.0257086

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
75309875.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
81631084.670000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-170580.810000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ESKOM GG LOAN SNR EM SP DUB
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPCESK17
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1278.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0001927

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
ESKOM HOLDINGS SOC LTD
At least one of the following other identifiers:
- Ticker (if CUSIP and ISIN are not available).
ESKOM
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
4.650000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2029-06-30
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
3300000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
1278.750000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN SOLD USD 20230510
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
22KFKBCCS0J
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
49759.000000
f. Exchange rate.
3.772100
g. Percentage value compared to net assets of the Fund.
0.0074993

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
907297.610000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
3610137.180000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2023-05-10
iv. Unrealized appreciation or depreciation. (24)
49759.000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230714
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23AFKBCHX8W
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-27081.880000
f. Exchange rate.
56.049700
g. Percentage value compared to net assets of the Fund.
-0.0040816

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
50838000.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
879934.570000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-07-14
iv. Unrealized appreciation or depreciation. (24)
-27081.880000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230720
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23AJKBC29PR
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-21862.970000
f. Exchange rate.
56.122700
g. Percentage value compared to net assets of the Fund.
-0.0032950

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
38670886.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
667178.830000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-07-20
iv. Unrealized appreciation or depreciation. (24)
-21862.970000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230727
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23AOKBCBKCW
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-51371.940000
f. Exchange rate.
56.207900
g. Percentage value compared to net assets of the Fund.
-0.0077424

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
95800717.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
1653027.570000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-07-27
iv. Unrealized appreciation or depreciation. (24)
-51371.940000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230803
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23ATKBCQFWC
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-4292.080000
f. Exchange rate.
56.293100
g. Percentage value compared to net assets of the Fund.
-0.0006469

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
8985000.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
155318.960000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-08-03
iv. Unrealized appreciation or depreciation. (24)
-4292.080000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230803
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BAKBCHNKW
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-7354.650000
f. Exchange rate.
56.293100
g. Percentage value compared to net assets of the Fund.
-0.0011084

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
16274000.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
281739.400000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-08-03
iv. Unrealized appreciation or depreciation. (24)
-7354.650000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230810
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BDKBCJK6P
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-2545.130000
f. Exchange rate.
56.378300
g. Percentage value compared to net assets of the Fund.
-0.0003836

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
7566961.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
131672.600000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-08-10
iv. Unrealized appreciation or depreciation. (24)
-2545.130000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD DOP BOUGHT USD 20230811
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BGKBCF7RB
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Dominican Republic Peso
e. Value. (4)
-11178.360000
f. Exchange rate.
56.390500
g. Percentage value compared to net assets of the Fund.
-0.0016847

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
39578347.000000
Description of currency sold.
Dominican Republic Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
690684.220000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-08-11
iv. Unrealized appreciation or depreciation. (24)
-11178.360000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BSKBBQVDQ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
6827.430000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0010290

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
344550.540000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
324000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
6827.430000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CNKBBS5PK
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
51516.810000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0077642

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
4017526.790000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
3752000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
51516.810000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CLKBBV8KC
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-21242.200000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0032015

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
927000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
984089.200000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-21242.200000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CUKBBPJ2R
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
826.670000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0001246

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
671000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
728526.100000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
826.670000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CAKBBVQ78
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-85083.930000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0128232

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
3271000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
3950019.370000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-85083.930000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS S A EXP 05DEC25
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445091858

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23229.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
162603.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0245062

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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 RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT JACKSON HOLDINGS SA
Title of issue.
INTELSAT JACKSON HOLDINGS SA
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
9844VD984
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2025-12-05
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
162603.000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS S A RIGHTS
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445092583

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23289.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
145556.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0219371

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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 RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT JACKSON HOLDINGS SA
Title of issue.
INTELSAT JACKSON HOLDINGS SA
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
9844VD984
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2025-12-05
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
145556.250000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT EMERGENCE SA CALL EXP 17FEB27
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445094365

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
127.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
127.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000191

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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 RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT SA
Title of issue.
INTELSAT SA/LUXEMBOURG
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
LU2445093128
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
77.220000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2027-02-17
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
-8990828.030000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT EMERGENCE SA CALL EXP17FEB27
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445093987

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
123.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
276.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000417

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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 RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT SA
Title of issue.
INTELSAT SA/LUXEMBOURG
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
LU2445093128
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
60.150000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2027-02-17
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
-445.880000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ATLANTIC MARINE CORPS COMMUNITIES LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ATLANTIC MARINE CORP COM SECURED 02/48 5.383
d. CUSIP (if any).
048677AH1
At least one of the following other identifiers:
- ISIN
US048677AH10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4179523.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3531588.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5322525

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.383
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZJZYMPHKKQ8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-39867.090000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0060084

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
Title of issue.
JAGUAR LAND ROVER AUTOMO
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
XS1025866119
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2026-06-20
iii. Upfront payments or receipts
Upfront payments.
63248.720000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
900000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-103115.810000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23CHKBBNLT8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-27789.700000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0041882

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
795000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
952921.740000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-27789.700000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ROLLS-ROYCE PLC SNR SE ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZF6LK95JXZ4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-54614.270000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0082310

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
ROLLS-ROYCE PLC
Title of issue.
ROLLS-ROYCE PLC
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
XS0944838241
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.000000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2025-12-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-307241.260000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
2900000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
252626.990000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT GBP SOLD USD 20230404
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23COKBBPJ80
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
10791.440000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.0016264

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Royal Bank of CanadaES7IP3U3RHIGC71XBU11

i. Amount and description of currency sold.
Amount of currency sold.
1547244.470000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1263000.000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
10791.440000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AVOCA CLO XIII 13X
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AVOCA CLO AVOCA 13X SUB REGS
d. CUSIP (if any).
ACI0B8BB9
At least one of the following other identifiers:
- ISIN
XS1136167415

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2150000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1039827.620000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1567144

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CHF BOUGHT USD 20230516
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
23BJKBBXL4D
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Switzerland Franc
e. Value. (4)
7512.640000
f. Exchange rate.
0.910800
g. Percentage value compared to net assets of the Fund.
0.0011322

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
3073861.500000
Description of currency sold.
Switzerland Franc
ii. Amount and description of currency purchased.
Amount of currency purchased.
3382346.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
7512.640000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No

NPORT-P: Part E: Explanatory Notes (if any)

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 RecordNote ItemExplanatory Notes
#1B.2.fA negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D. This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f.
#2B.5.aTotal returns do not deduct sales loads and redemption fees.
#3C.11.c.viTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#4C.11.d.iiiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#5C.11.e.iiiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#6C.11.f.iiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#7C.5.aThe form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list. Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A.

NPORT-P: Additional notes

IdentifierNote
(1) LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(2) Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
(3) Currency. Indicate the currency in which the investment is denominated.
(4) Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
(5) Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item [C/D].11.
(6) Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other” provide a brief description.
(7) Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other” provide a brief description.
(8) Report the ISO country code that corresponds to the country where the issuer is organized.
(9) If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments.
(10) Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: Highly Liquid Investments, Moderately Liquid Investments, Less Liquid Investments, Illiquid Investments. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
(11) Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
(12) Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7 (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
(13) Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none).
(14) Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N]
(15) Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind.
(16) Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
(17) Conversion ratio per US$1000 notional, or, if bond currency is not in U.S. dollars, per 1000 units of the relevant currency, indicating the relevant currency. If there is more than one conversion ratio, provide each conversion ratio.
(18) Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral.
(19) If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated.
(20) Category of investments that most closely represents the collateral, selected from among the following (asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; private label collateralized mortgage obligations; corporate debt securities; equities; money market; U.S. Treasuries (including strips); other instrument). If "other instrument", include a brief description, including, if applicable, whether it is a collateralized debt obligation, municipal debt, whole loan, or international debt
(21) Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other).
(22) In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(23) Description and terms of payments necessary for a user of financial information to understand the terms of payments to be paid and received, including, as applicable, description of the reference instrument, obligation, or index, financing rate, floating coupon rate, fixed coupon rate, and payment frequency.
(24) Depreciation shall be reported as a negative number.
(25) If the reference instrument is a derivative, indicate the category of derivative from among the categories listed in sub-Item C.11.a. and provide all information required to be reported on this Form for that category.
(26) If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.

If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
(27) If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
(28) If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).

NPORT-P: Signatures

The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Registrant:
PIMCO High Income Fund
By (Signature):
/s/ Bijal Parikh
Name:
Bijal Parikh
Title:
Treasurer
Date:
2023-05-12


Documents