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
0001254370
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
Western Asset Inflation-Linked Income Fund
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-21403
c. CIK number of Registrant
0001254370
d. LEI of Registrant
549300BKG7Y2MQAORR48
e. Address and telephone number of Registrant:
i. Street Address 1
620 Eighth Avenue
ii. Street Address 2
47th Floor
iii. City
New York
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
10018
vii. Telephone number
1-888-777-0102

Item A.2. Information about the Series.

a. Name of Series.
Western Asset Inflation-Linked Income Fund
b. EDGAR series identifier (if any).
c. LEI of Series.
549300BKG7Y2MQAORR48

Item A.3. Reporting period.

a. Date of fiscal year-end.
2021-11-30
b. Date as of which information is reported.
2021-05-28

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.
343220106.28
b. Total liabilities.
5725642.74
c. Net assets.
337494463.54

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

a. Assets attributable to miscellaneous securities reported in Part D.
0.00000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
20383792.00000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
0.00000000
(ii) On a standby commitment basis:
0.00000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
0.00000000
f. Cash and cash equivalents not reported in Parts C and D.
1444868.41000000

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 Brazil Real
Interest Rate Risk (DV01)
0.0500000095.3000000073.070000006880.860000002304.64000000
Interest Rate Risk (DV100)
4.840000009530.010000007306.69000000688086.34000000230464.37000000
#2 Indonesia Rupiah
Interest Rate Risk (DV01)
0.0300000030.440000001777.770000000.000000000.00000000
Interest Rate Risk (DV100)
3.350000003044.08000000177777.070000000.000000000.00000000
#3 Mexico Peso
Interest Rate Risk (DV01)
0.00000000361.060000000.300000001255.3400000078.63000000
Interest Rate Risk (DV100)
0.0000000036106.4000000029.81000000125533.790000007863.31000000
#4 Russia Ruble
Interest Rate Risk (DV01)
0.020000000.000000002354.20000000410.280000000.00000000
Interest Rate Risk (DV100)
2.460000000.00000000235420.4600000041028.210000000.00000000
#5 United States Dollar
Interest Rate Risk (DV01)
2809.9000000015833.01000000126203.40000000101655.8300000079176.42000000
Interest Rate Risk (DV100)
280989.630000001583300.8300000012620340.4400000010165582.740000007917641.90000000

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 1643.810000002297.1900000059983.8800000032275.5700000010796.83000000
Non-Investment grade 0.000000000.000000000.000000000.000000000.00000000

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
#1-0.450000003.060000006.63000000C000000000

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 Contracts1986360.21000000-2226805.220000001513040.00000000767000.000000001175561.03000000722896.90000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 1986360.21000000-2226805.220000001513040.00000000767000.000000001175561.03000000722896.90000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Credit Contracts601671.53000000-461182.37000000532426.89000000-200287.3600000090773.8900000012687.55000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 601671.53000000-461182.37000000532426.89000000-200287.3600000090773.8900000012687.55000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Equity Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Foreign Exchange Contracts-643332.83000000196712.48000000-214144.31000000206122.420000000.00000000567773.21000000
Forward 27089.89000000-152913.37000000-214144.31000000-58056.330000000.00000000501649.47000000
Future -670422.72000000349625.850000000.00000000264178.750000000.0000000066123.74000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Interest Rate Contracts25773.55000000-1267956.85000000-333671.730000001283652.91000000-45198.65000000675203.83000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 190872.04000000-1490654.81000000-382067.300000001240902.83000000-211009.08000000609977.84000000
Option 76853.280000005271.2600000048395.5700000054309.83000000165810.43000000-59581.09000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap -241951.77000000217426.700000000.00000000-11559.750000000.00000000124807.08000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Other Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000

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

MonthMonthly net realized gain(loss)Monthly net change in unrealized appreciation (or depreciation)
Month 1 761719.36000000-4111363.51000000
Month 2 147854.720000003615745.07000000
Month 3 3089912.40000000-103674.70000000

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 0.000000000.000000000.00000000
Month 2 0.000000000.000000000.00000000
Month 3 0.000000000.000000000.00000000

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 segregated to cover or pledged to satisfy margin requirements 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
Classification

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).
Bank
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANK 2021-BNK32
d. CUSIP (if any).
06542BBN6
At least one of the following other identifiers:
- ISIN
US06542BBN64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2629294.27000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
159721.48000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.047325659308

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.
2054-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.78530800
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL DYNAMICS CORP
b. LEI (if any) of issuer. (1)
9C1X8XOOTYY2FNYTVH06
c. Title of the issue or description of the investment.
General Dynamics Corp
d. CUSIP (if any).
369550BJ6
At least one of the following other identifiers:
- ISIN
US369550BJ68
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMFFN04
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2560000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3129645.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.927317540908

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.
2050-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GLENCORE FUNDING LLC
b. LEI (if any) of issuer. (1)
213800STG1QDNBY87K49
c. Title of the issue or description of the investment.
Glencore Funding LLC
d. CUSIP (if any).
378272AQ1
At least one of the following other identifiers:
- ISIN
US378272AQ19
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDFW2K5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
800000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
883191.51000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.261690666192

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.
2027-10-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
EXXON MOBIL CORPORATION
b. LEI (if any) of issuer. (1)
J3WHBG0MTS7O8ZVMDC91
c. Title of the issue or description of the investment.
Exxon Mobil Corp
d. CUSIP (if any).
30231GBM3
At least one of the following other identifiers:
- ISIN
US30231GBM33
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLD2032
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
330000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
342798.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.101571553620

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.
2051-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.45200000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
RUSSIA GOVT BOND - OFZ
b. LEI (if any) of issuer. (1)
5493004EHVGF71PDBU58
c. Title of the issue or description of the investment.
Russian Federal Bond - OFZ
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
RU000A0JTK38
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B98G057
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
97680000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
1356073.75000000
f. Exchange rate.
73.22000000
g. Percentage value compared to net assets of the Fund.
0.401806220989

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)
RUSSIAN FEDERATION
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-19
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.05000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
RUSSIA I/L BOND - OFZ
b. LEI (if any) of issuer. (1)
5493004EHVGF71PDBU58
c. Title of the issue or description of the investment.
Russian Federal Inflation Linked Bond
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
RU000A0ZYZ26
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BHNFGJ1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
253468168.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
3434040.19000000
f. Exchange rate.
73.22000000
g. Percentage value compared to net assets of the Fund.
1.017510081196

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)
RUSSIAN FEDERATION
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-02
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Washington Mutual MSC Mortgage
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA1 Trust
d. CUSIP (if any).
939336P80
At least one of the following other identifiers:
- ISIN
US939336P801

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5441.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5808.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001720937860

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.
2034-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
SOUTHERN COPPER CORP
b. LEI (if any) of issuer. (1)
2549007U6NAP46Q9TU15
c. Title of the issue or description of the investment.
Southern Copper Corp
d. CUSIP (if any).
84265VAG0
At least one of the following other identifiers:
- ISIN
US84265VAG05
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8ZRND5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1370000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1662495.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.492599191868

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.
2042-11-08
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
NEW YORK MERCANTILE EXCHANGE, INC.
b. LEI (if any) of issuer. (1)
5493008GFNDTXFPHWI47
c. Title of the issue or description of the investment.
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
CLN1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00BFJSSM1
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-93.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-190627.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.05648304804

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-commodity
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NEW YORK MERCANTILE EXCHANGE, INC.5493008GFNDTXFPHWI47

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
CRUDE OIL
Title of issue.
CRUDE OIL
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
CRUDEOIL
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-06-22
iv. Aggregate notional amount or contract value on trade date.
-5977132.84000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-190627.16000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
APACHE CORP
b. LEI (if any) of issuer. (1)
72ZZ1XRHOOU9P9X16K08
c. Title of the issue or description of the investment.
Apache Corp
d. CUSIP (if any).
037411BC8
At least one of the following other identifiers:
- ISIN
US037411BC83
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B90LGN0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
440000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
414968.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.122955617004

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.
2044-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL ELECTRIC CO
b. LEI (if any) of issuer. (1)
3C7474T6CDKPR9K6YT90
c. Title of the issue or description of the investment.
General Electric Co
d. CUSIP (if any).
369604BX0
At least one of the following other identifiers:
- ISIN
US369604BX09
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLB4M45
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
110000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
124537.68000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.036900658663

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.
2040-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140HXEV8
At least one of the following other identifiers:
- ISIN
US3140HXEV89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
214412.72000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.063530736993

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.
2035-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.68000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378B2Q1
At least one of the following other identifiers:
- ISIN
US38378B2Q11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2581867.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
54632.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.016187693696

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 agency

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.
2054-01-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.56549000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Bear Stearns Adjustable Rate M
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bear Stearns ARM Trust 2004-9
d. CUSIP (if any).
07384M3F7
At least one of the following other identifiers:
- ISIN
US07384M3F72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15650.29000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15349.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004548027199

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)
Variable
ii. Annualized rate.
3.24000400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
US TREASURY N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Note/Bond
d. CUSIP (if any).
91282CCE9
At least one of the following other identifiers:
- ISIN
US91282CCE93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2480000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2477675.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.734137968964

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.
2028-05-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912828N71
At least one of the following other identifiers:
- ISIN
US912828N712
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDHLRC7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
35437902.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
39826999.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
11.80078600468

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.
2026-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
USD/INR FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EHJ94JSLJQTAN
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
58201.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017245216229

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)
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.

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.
-3182485.61000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
236697367.00000000
Description of currency purchased.
India Rupee
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
58201.65000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BAUSCH HEALTH AMERICAS
b. LEI (if any) of issuer. (1)
KOO0397YRO83WY5MGD97
c. Title of the issue or description of the investment.
Bausch Health Americas Inc
d. CUSIP (if any).
91911XAW4
At least one of the following other identifiers:
- ISIN
US91911XAW48
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BFY2Z12
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
970000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1040325.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.308249501069

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.
2027-01-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BP CAP MARKETS AMERICA
b. LEI (if any) of issuer. (1)
5493009NTB34VXE1T760
c. Title of the issue or description of the investment.
BP Capital Markets America Inc
d. CUSIP (if any).
10373QBL3
At least one of the following other identifiers:
- ISIN
US10373QBL32
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMC5GZ3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
333115.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.098702522852

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.
2030-04-06
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.63300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2007-12T1
d. CUSIP (if any).
02150LAC1
At least one of the following other identifiers:
- ISIN
US02150LAC19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1307719.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
937248.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.277707957093

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)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
REPUBLIC OF INDONESIA
b. LEI (if any) of issuer. (1)
529900FWX0GRR7WG5W79
c. Title of the issue or description of the investment.
Indonesia Government International Bond
d. CUSIP (if any).
455780CB0
At least one of the following other identifiers:
- ISIN
US455780CB07
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF41TL7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
465408.29000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.137901014765

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)
INDONESIA
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-07-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
JPMORGAN CHASE & CO
b. LEI (if any) of issuer. (1)
8I5DZWZKVSZI1NUHU748
c. Title of the issue or description of the investment.
JPMorgan Chase & Co
d. CUSIP (if any).
46647PBN5
At least one of the following other identifiers:
- ISIN
US46647PBN50
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMF0547
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
430000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
424870.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.125889576244

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.
2051-04-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.10900000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GOLDMAN SACHS & CO. LLC
b. LEI (if any) of issuer. (1)
FOR8UP27PHTHYVLBNG30
c. Title of the issue or description of the investment.
RUB/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EKJ30JM4VELGM
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
247253.53000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.073261506990

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)
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.

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 & CO. LLCFOR8UP27PHTHYVLBNG30

i. Amount and description of currency sold.
Amount of currency sold.
-3945363.33000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
309195641.00000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
247253.53000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
NOTA DO TESOURO NACIONAL
b. LEI (if any) of issuer. (1)
254900ZFY40OYEADAP90
c. Title of the issue or description of the investment.
Brazil Notas do Tesouro Nacional Serie F
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
BRSTNCNTF147
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B4Q5YM6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2920000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
585918.95000000
f. Exchange rate.
5.21170000
g. Percentage value compared to net assets of the Fund.
0.173608462744

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)
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.
2023-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
UNITED MEXICAN STATES
b. LEI (if any) of issuer. (1)
254900EGTWEU67VP6075
c. Title of the issue or description of the investment.
Mexico Government International Bond
d. CUSIP (if any).
91087BAF7
At least one of the following other identifiers:
- ISIN
US91087BAF76
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BH4KQ39
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1480000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1675130.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.496343134767

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)
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.
2029-04-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810RF7
At least one of the following other identifiers:
- ISIN
US912810RF75
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BK0HZL6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
25003440.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33677643.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
9.978724630547

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.
2044-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.37500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
ILFC E-CAPITAL TRUST II
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ILFC E-Capital Trust II
d. CUSIP (if any).
44965UAA2
At least one of the following other identifiers:
- ISIN
US44965UAA25
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B0V0S60
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1010000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
876690.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.259764290887

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Structured note
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.
2065-12-21
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Legacy Mortgage Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Legacy Mortgage Asset Trust 2019-GS1
d. CUSIP (if any).
52473VAA8
At least one of the following other identifiers:
- ISIN
US52473VAA89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
762109.85000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
764704.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.226582700640

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.
2059-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
COP/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EJJ90JIWCCFRJ
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-100335.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.02972949213

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)
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.

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. LLC9R7GPTSO7KV3UQJZQ078

i. Amount and description of currency sold.
Amount of currency sold.
-5783180.05000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
21134053192.00000000
Description of currency purchased.
Colombia Peso
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-100335.39000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
ANGLO AMERICAN CAPITAL
b. LEI (if any) of issuer. (1)
TINT358G1SSHR3L3PW36
c. Title of the issue or description of the investment.
Anglo American Capital PLC
d. CUSIP (if any).
034863AT7
At least one of the following other identifiers:
- ISIN
US034863AT77
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD5WJ82
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
800000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
890209.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.263770125489

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.
2027-09-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841850
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-15087500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-15087500.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-4.47044370498

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#110000000.00000000 United States Dollar 12184173.60000000 United States Dollar U.S. Treasuries (including strips)
#2207909.24640000 United States Dollar 207909.24640000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
d. CUSIP (if any).
46652BBQ1
At least one of the following other identifiers:
- ISIN
US46652BBQ14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2270000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2198644.59000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.651460935666

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.
2037-01-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.68819000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BROADCOM INC
b. LEI (if any) of issuer. (1)
549300WV6GIDOZJTV909
c. Title of the issue or description of the investment.
Broadcom Inc
d. CUSIP (if any).
11135FBC4
At least one of the following other identifiers:
- ISIN
US11135FBC41
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKPVLV5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
370000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
417283.59000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.123641610479

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.
2025-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.70000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BONOS TESORERIA PESOS
b. LEI (if any) of issuer. (1)
549300FLZTJM5YJF8D34
c. Title of the issue or description of the investment.
Bonos de la Tesoreria de la Republica en pesos
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
CL0002187822
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ8VHW0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2330000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Chile Peso
e. Value. (4)
3368590.34000000
f. Exchange rate.
724.50000000
g. Percentage value compared to net assets of the Fund.
0.998117214921

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)
CHILE
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
First Franklin Mtg Loan Asset
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
First Franklin Mortgage Loan Trust 2006-FF15
d. CUSIP (if any).
32028GAE5
At least one of the following other identifiers:
- ISIN
US32028GAE52
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B4L2068
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
837494.59000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
827695.23000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.245247054223

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.
0.25163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
EUR/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EIJ93EOZWWTCM
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-63352.05000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.01877128570

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)
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.

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.
-2030000.00000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
2414624.10000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-63352.05000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
PETROBRAS GLOBAL FINANCE
b. LEI (if any) of issuer. (1)
549300FNENFFSMO3GT38
c. Title of the issue or description of the investment.
Petrobras Global Finance BV
d. CUSIP (if any).
71647NAY5
At least one of the following other identifiers:
- ISIN
US71647NAY58
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BFD2PX5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1470000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1679181.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.497543272973

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.
2028-01-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.99900000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810SV1
At least one of the following other identifiers:
- ISIN
US912810SV17
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMT9GR0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2401016.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2518970.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.746373956354

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.
2051-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38379KVU9
At least one of the following other identifiers:
- ISIN
US38379KVU95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7796924.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
189646.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.056192607727

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 agency

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.
2052-03-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.45225000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
New Residential Mortgage Loan
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
New Residential Mortgage Loan Trust 2014-1
d. CUSIP (if any).
64828AAA1
At least one of the following other identifiers:
- ISIN
US64828AAA16
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMSL105
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
477210.13000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
507650.51000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.150417433422

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.
2054-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
RANGE RESOURCES CORP
b. LEI (if any) of issuer. (1)
H3Y3WLYCX0BTO1TRW162
c. Title of the issue or description of the investment.
Range Resources Corp
d. CUSIP (if any).
75281ABA6
At least one of the following other identifiers:
- ISIN
US75281ABA60
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF3TMD5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
673000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
693190.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.205392998963

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.
2023-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841430
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-38593750.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-38593750.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-11.4353727747

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#125000000.00000000 United States Dollar 29808503.06000000 United States Dollar U.S. Treasuries (including strips)
#2531830.81890000 United States Dollar 531830.81890000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Ameriquest Mortgage Securities
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R7
d. CUSIP (if any).
03072SJ97
At least one of the following other identifiers:
- ISIN
US03072SJ975
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ0BTT9
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
418528.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
418851.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.124106290694

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.
2035-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.84163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BARRICK NA FINANCE LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Barrick North America Finance LLC
d. CUSIP (if any).
06849RAK8
At least one of the following other identifiers:
- ISIN
US06849RAK86
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BCRWZ96
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
530000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
714329.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.211656515045

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.
2043-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
INTERCONTINENTAL EXCHANGE, INC.
b. LEI (if any) of issuer. (1)
5493000F4ZO33MV32P92
c. Title of the issue or description of the investment.
CDS CDX.NA.HY.36.5Y.V1
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
SW0WS051524
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1015259.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.300822555531

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)
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.

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 EXCHANGE, INC.5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
IHS MARKIT LTD
Title of issue.
CDX.NA.HY.36.V1
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
2I65BRYP9_INDEX_US
If other identifier provided, indicate the type of identifier used.
INTERNAL
Custom swap Flag Yes No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Receipts: Fixed rate.
5.00000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
N/A
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Description of Other Payments
Default Event

ii. Termination or maturity date.
2026-06-20
iii. Upfront payments or receipts
Upfront payments.
822189.55000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.00000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
9464000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
193069.92000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Towd Point Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Towd Point Mortgage Trust 2015-2
d. CUSIP (if any).
89171YAG6
At least one of the following other identifiers:
- ISIN
US89171YAG61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
950000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
980379.77000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.290487660069

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.
2060-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.45036900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
RUB/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EIJ93DFJPWTTL
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
282451.11000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.083690590665

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)
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.

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.
-4700622.93000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
367490000.00000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
282451.11000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Countrywide Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CWHEQ Revolving Home Equity Loan Trust Series 2005-C
d. CUSIP (if any).
126685AD8
At least one of the following other identifiers:
- ISIN
US126685AD83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
334926.29000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
327503.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.097039541497

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.
2035-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.28088000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841429
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-23075000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-23075000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-6.83714919586

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#120000000.00000000 United States Dollar 20838022.62000000 United States Dollar U.S. Treasuries (including strips)
#2317978.84750000 United States Dollar 317978.84750000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
CBOT 5 Year US Treasury Note
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
FVU1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00YN8BCD9
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-127.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2757.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000816952660

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOARD OF TRADE OF THE CITY OF CHICAGO, INC.549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
US TREASURY N/B
Title of issue.
UNITED STATES TREASURY NOTE/BOND
At least one of the following other identifiers:
- CUSIP.
91282CAZ4
- ISIN (if CUSIP is not available).
US91282CAZ41
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BLH34N9
If other identifier provided, indicate the type of identifier used.
SEDOL
iii. Expiration date.
2021-09-30
iv. Aggregate notional amount or contract value on trade date.
-15731905.29000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
2757.17000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810PZ5
At least one of the following other identifiers:
- ISIN
US912810PZ57
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B4RNYM9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12448133.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16147566.81000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.784542727198

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.
2029-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810QF8
At least one of the following other identifiers:
- ISIN
US912810QF84
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B64KS14
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5514705.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8121275.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.406343207771

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.
2040-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378BF61
At least one of the following other identifiers:
- ISIN
US38378BF615

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1164158.21000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8533.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.002528559997

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 agency

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.
2053-02-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.18439000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GOLDMAN SACHS & CO. LLC
b. LEI (if any) of issuer. (1)
FOR8UP27PHTHYVLBNG30
c. Title of the issue or description of the investment.
USD/GBP FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EJJ91FBLANRPD
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
87011.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.025781554780

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)
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.

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 & CO. LLCFOR8UP27PHTHYVLBNG30

i. Amount and description of currency sold.
Amount of currency sold.
-2649334.47000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1928057.72000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
87011.32000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MEG ENERGY CORP
b. LEI (if any) of issuer. (1)
5493002WXPTG5ZC1T326
c. Title of the issue or description of the investment.
MEG Energy Corp
d. CUSIP (if any).
552704AD0
At least one of the following other identifiers:
- ISIN
US552704AD04
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYV27T0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8288.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.002455838804

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)
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.
2025-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
9128284H0
At least one of the following other identifiers:
- ISIN
US9128284H06
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BFWS4X7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
29325175.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
31218527.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
9.250085688087

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.
2023-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
CME Ultra Long Term US Treasury Bond
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
WNU1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00YHYJ3X9
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10572.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003132780280

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOARD OF TRADE OF THE CITY OF CHICAGO, INC.549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
US TREASURY N/B
Title of issue.
United States Treasury Note/Bond
At least one of the following other identifiers:
- CUSIP.
912810RV2
- ISIN (if CUSIP is not available).
US912810RV26
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BDRJ2Q0
If other identifier provided, indicate the type of identifier used.
SEDOL
iii. Expiration date.
2021-09-21
iv. Aggregate notional amount or contract value on trade date.
2212427.04000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
10572.96000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841624
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-33862500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-33862500.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-10.0334979261

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#1466633.09740000 United States Dollar 466633.09740000 United States Dollar
#215000000.00000000 United States Dollar 21534740.67000000 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: 59

Item C.1. Identification of investment.

a. Name of issuer (if any).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
91282CBF7
At least one of the following other identifiers:
- ISIN
US91282CBF77
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMV7Z42
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1729784.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1900035.72000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.562982782019

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.
2031-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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 SECURITIES CORP.
b. LEI (if any) of issuer. (1)
RCNB6OTYUAMMP879YW96
c. Title of the issue or description of the investment.
EUR/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EJJ91FKEFUWWM
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-111040.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.03290142565

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)
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.

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 SECURITIES CORP.RCNB6OTYUAMMP879YW96

i. Amount and description of currency sold.
Amount of currency sold.
-4088609.15000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
4879834.36000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-111040.49000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XUW2
At least one of the following other identifiers:
- ISIN
US30711XUW28

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
440000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
457116.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.135444287057

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.
2030-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.09163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
EOG RESOURCES INC
b. LEI (if any) of issuer. (1)
XWTZDRYZPBUHIQBKDB46
c. Title of the issue or description of the investment.
EOG Resources Inc
d. CUSIP (if any).
26875PAU5
At least one of the following other identifiers:
- ISIN
US26875PAU57
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLBMLZ3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
40000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
46615.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013812271025

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.
2030-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.37500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHEVRON USA INC
b. LEI (if any) of issuer. (1)
VA8TZDWPEZYU430RZ444
c. Title of the issue or description of the investment.
Chevron USA Inc
d. CUSIP (if any).
166756AW6
At least one of the following other identifiers:
- ISIN
US166756AW64
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BNGDP86
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1590000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2065760.82000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.612087320879

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.
2047-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.95000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
CBOT US Long Bond
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
USU1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00YHYJ289
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-183.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-201042.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.05956901274

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOARD OF TRADE OF THE CITY OF CHICAGO, INC.549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
US TREASURY N/B
Title of issue.
United States Treasury Note/Bond
At least one of the following other identifiers:
- CUSIP.
912810PU6
- ISIN (if CUSIP is not available).
US912810PU60
- Other identifier (if CUSIP, ISIN, and ticker are not available).
B23Y8Q4
If other identifier provided, indicate the type of identifier used.
SEDOL
iii. Expiration date.
2021-09-21
iv. Aggregate notional amount or contract value on trade date.
-28444176.63000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-201042.12000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MEX BONOS DESARR FIX RT
b. LEI (if any) of issuer. (1)
254900EGTWEU67VP6075
c. Title of the issue or description of the investment.
Mexican Bonos
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
MX0MGO000102
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDH3PR4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21750000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
1140832.16000000
f. Exchange rate.
19.91800000
g. Percentage value compared to net assets of the Fund.
0.338029888856

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)
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.
2047-11-07
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BAUSCH HEALTH COS INC
b. LEI (if any) of issuer. (1)
B3BS7ACMDUWISF18KY76
c. Title of the issue or description of the investment.
Bausch Health Cos Inc
d. CUSIP (if any).
91911KAP7
At least one of the following other identifiers:
- ISIN
US91911KAP75
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ3ZWN3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1280000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1372352.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.406629485297

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)
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.
2025-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810FH6
At least one of the following other identifiers:
- ISIN
US912810FH69
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
2407096
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
41086620.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
58202001.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
17.24532046822

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.
2029-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38379RAJ2
At least one of the following other identifiers:
- ISIN
US38379RAJ23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10915737.67000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
450877.82000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.133595619694

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 agency

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.
2057-09-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.71724000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL DYNAMICS CORP
b. LEI (if any) of issuer. (1)
9C1X8XOOTYY2FNYTVH06
c. Title of the issue or description of the investment.
General Dynamics Corp
d. CUSIP (if any).
369550BH0
At least one of the following other identifiers:
- ISIN
US369550BH03
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMFFMZ2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11875.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003518576238

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.
2040-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XJW5
At least one of the following other identifiers:
- ISIN
US30711XJW56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
590000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
632113.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.187295908018

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.
2029-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.94163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHICAGO MERCANTILE EXCHANGE INC.
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
90 DAY EURO DOLLAR TIME DEPOSIT
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
EDZ3
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG005Q3B9K9
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
322.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CHICAGO MERCANTILE EXCHANGE INC.SNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
90 DAY EURO DOLLAR TIME DEPOSIT
Title of issue.
90 DAY EURO DOLLAR TIME DEPOSIT
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
90DEURTD_RATE_EU
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2023-12-18
iv. Aggregate notional amount or contract value on trade date.
79673951.20000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
0.00000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
UK CLEARING HOUSE LIMITED
b. LEI (if any) of issuer. (1)
213800O8SCO4XJGBU385
c. Title of the issue or description of the investment.
IRS USD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SW0WS035329
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
657622.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.194854349046

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)
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.

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
#1UK CLEARING HOUSE LIMITED213800O8SCO4XJGBU385

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.
US CPI URBAN CONSUMERS
Receipts: Floating rate Spread.
0.00000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
0
Receipts: Base currency.
United States Dollar
Receipts: Amount.
7110000.00000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: Fixed rate.
0.80200000
Payments: Base currency
United States Dollar
Payments: Amount
N/A

ii. Termination or maturity date.
2025-04-07
iii. Upfront payments or receipts
Upfront payments.
45881.77000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.00000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
-7110000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
611740.87000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
J.P. MORGAN SECURITIES LLC
b. LEI (if any) of issuer. (1)
ZBUT11V806EZRVTWT807
c. Title of the issue or description of the investment.
USD/IDR FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EHJ94HH9CWKVD
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8365.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.002478648067

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)
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.

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
#1J.P. MORGAN SECURITIES LLCZBUT11V806EZRVTWT807

i. Amount and description of currency sold.
Amount of currency sold.
-358920.06000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
5269305390.00000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
8365.30000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841852
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-18056250.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-18056250.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-5.35008776458

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#115000000.00000000 United States Dollar 16727339.76000000 United States Dollar U.S. Treasuries (including strips)
#2248819.30940000 United States Dollar 248819.30940000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CANADIAN GOVERNMENT RRB
b. LEI (if any) of issuer. (1)
4BFD7AQU0A75QLAHK410
c. Title of the issue or description of the investment.
Canadian Government Real Return Bond
d. CUSIP (if any).
135087ZH0
At least one of the following other identifiers:
- ISIN
CA135087ZH04
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B5N1WV9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1799338.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
1912433.39000000
f. Exchange rate.
1.20805000
g. Percentage value compared to net assets of the Fund.
0.566656225983

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)
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.
2044-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
WELLS FARGO & COMPANY
b. LEI (if any) of issuer. (1)
PBLD0EJDB5FWOLXP3B76
c. Title of the issue or description of the investment.
Wells Fargo & Co
d. CUSIP (if any).
95000U2M4
At least one of the following other identifiers:
- ISIN
US95000U2M49
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMFVFL7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2440000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3226090.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.955894391914

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.
2051-04-04
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.01300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
WILLIAMS COMPANIES INC
b. LEI (if any) of issuer. (1)
D71FAKCBLFS2O0RBPG08
c. Title of the issue or description of the investment.
Williams Cos Inc/The
d. CUSIP (if any).
969457BV1
At least one of the following other identifiers:
- ISIN
US969457BV14
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BNH5SJ3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1340000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1688157.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.500203162532

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.
2044-06-24
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Series 2014-11R
d. CUSIP (if any).
12649FCL0
At least one of the following other identifiers:
- ISIN
US12649FCL04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2188858.29000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1911503.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.566380556276

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.
2036-10-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.24613000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHICAGO MERCANTILE EXCHANGE INC.
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
BRITISH POUND CURRENCY
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
BPM1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00D1PWN71
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-33.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-52573.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.01557747924

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CHICAGO MERCANTILE EXCHANGE INC.SNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
BRITISH POUND CURRENCY
Title of issue.
BRITISH POUND CURRENCY
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BRITISHPOUND
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-06-14
iv. Aggregate notional amount or contract value on trade date.
-2875351.88000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-52573.13000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912828SA9
At least one of the following other identifiers:
- ISIN
US912828SA95
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B7GSCJ9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23405800.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23979663.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
7.105202079013

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.
2022-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MEXICAN UDIBONOS
b. LEI (if any) of issuer. (1)
254900EGTWEU67VP6075
c. Title of the issue or description of the investment.
Mexican Udibonos
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
MX0SGO0000B9
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B7XHC77
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
71174312.55000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
3589649.58000000
f. Exchange rate.
19.91800000
g. Percentage value compared to net assets of the Fund.
1.063617323480

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)
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.
2022-06-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
ANTOFAGASTA PLC
b. LEI (if any) of issuer. (1)
213800MY6QVH4FVLD628
c. Title of the issue or description of the investment.
Antofagasta PLC
d. CUSIP (if any).
03718NAA4
At least one of the following other identifiers:
- ISIN
US03718NAA46
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMDZ1H9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
550000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
528244.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.156519530560

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.
2030-10-14
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.37500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
OCCIDENTAL PETROLEUM COR
b. LEI (if any) of issuer. (1)
IM7X0T3ECJW4C1T7ON55
c. Title of the issue or description of the investment.
Occidental Petroleum Corp
d. CUSIP (if any).
674599DC6
At least one of the following other identifiers:
- ISIN
US674599DC69
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BK8VN94
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
110000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
117562.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.034833904760

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.
5.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Dreyfus Government Cash Management
b. LEI (if any) of issuer. (1)
5493000Q69I5Q3QZIA91
c. Title of the issue or description of the investment.
Dreyfus Government Cash Management
d. CUSIP (if any).
262006208
At least one of the following other identifiers:
- ISIN
US2620062081
- Ticker (if ISIN is not available).
DGCXX

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7158735.33000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7158735.33000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.121141560341

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
b. Issuer type. (7)
Registered fund

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: 85

Item C.1. Identification of investment.

a. Name of issuer (if any).
MRCD Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MRCD 2019-MARK Mortgage Trust
d. CUSIP (if any).
55348UAG3
At least one of the following other identifiers:
- ISIN
US55348UAG31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
850000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
890636.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.263896764604

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.
2036-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.71752000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
YAMANA GOLD INC
b. LEI (if any) of issuer. (1)
54930002VY22NXG01418
c. Title of the issue or description of the investment.
Yamana Gold Inc
d. CUSIP (if any).
98462YAD2
At least one of the following other identifiers:
- ISIN
US98462YAD22
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDSH9Q2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
670000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
741200.01000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.219618420469

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)
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.
2027-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GSR Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSR Mortgage Loan Trust 2004-11
d. CUSIP (if any).
36242DFP3
At least one of the following other identifiers:
- ISIN
US36242DFP33
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B03QS44
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
45160.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
46783.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013861868876

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.
2034-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.40355100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841625
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-16200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-16200000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-4.80007874205

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#115000000.00000000 United States Dollar 15632500.98000000 United States Dollar U.S. Treasuries (including strips)
#2223239.75430000 United States Dollar 223239.75430000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810PV4
At least one of the following other identifiers:
- ISIN
US912810PV44
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B2PB3T1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12643500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15423004.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.569854094264

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.
2028-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
EXXON MOBIL CORPORATION
b. LEI (if any) of issuer. (1)
J3WHBG0MTS7O8ZVMDC91
c. Title of the issue or description of the investment.
Exxon Mobil Corp
d. CUSIP (if any).
30231GBG6
At least one of the following other identifiers:
- ISIN
US30231GBG64
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLST243
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4151741.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.230165771151

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.
2050-03-19
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.32700000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
d. CUSIP (if any).
46652BAS8
At least one of the following other identifiers:
- ISIN
US46652BAS88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1963500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1873774.92000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.555201676598

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.
2037-01-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.10088000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHICAGO MERCANTILE EXCHANGE INC.
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
JAPANESE YEN CURRENCY
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
JYM1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00D1PWMG3
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
35.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-48914.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.01449354146

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CHICAGO MERCANTILE EXCHANGE INC.SNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
CHICAGO MERCANTILE EXCHANGE
Title of issue.
JAPANESE YEN 2PM OP
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
JAPANESEYEN
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-06-14
iv. Aggregate notional amount or contract value on trade date.
4034321.15000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-48914.90000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
INTERCONTINENTAL EXCHANGE, INC.
b. LEI (if any) of issuer. (1)
5493000F4ZO33MV32P92
c. Title of the issue or description of the investment.
CDS CDX.NA.IG.36.5Y.V1
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
SW0WS051003
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1933100.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.572779950143

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)
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.

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 EXCHANGE, INC.5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
IHS MARKIT LTD
Title of issue.
CDX.NA.IG.36.V1
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
2I65BYDY8_INDEX_US
If other identifier provided, indicate the type of identifier used.
INTERNAL
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.
1.00000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
N/A
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Description of Other Payments
Default Event

ii. Termination or maturity date.
2026-06-20
iii. Upfront payments or receipts
Upfront payments.
1576912.57000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.00000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
73036000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
356188.05000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
ABU DHABI GOVT INT'L
b. LEI (if any) of issuer. (1)
213800FER4348CINTA77
c. Title of the issue or description of the investment.
Abu Dhabi Government International Bond
d. CUSIP (if any).
29135LAJ9
At least one of the following other identifiers:
- ISIN
US29135LAJ98
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLGWDR4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
960000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1080691.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.320210052830

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)
UNITED ARAB EMIRATES
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-04-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Residential Asset Mortgage Pro
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RAMP Series 2004-SL4 Trust
d. CUSIP (if any).
76112BGP9
At least one of the following other identifiers:
- ISIN
US76112BGP94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
39711.27000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24768.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.007338973724

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.
2032-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
NOTA DO TESOURO NACIONAL
b. LEI (if any) of issuer. (1)
254900ZFY40OYEADAP90
c. Title of the issue or description of the investment.
Brazil Notas do Tesouro Nacional Serie B
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
BRSTNCNTB3D4
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B4VFQN6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
25128497.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
6090997.94000000
f. Exchange rate.
5.21170000
g. Percentage value compared to net assets of the Fund.
1.804769736401

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)
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.
2050-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
d. CUSIP (if any).
46652BAQ2
At least one of the following other identifiers:
- ISIN
US46652BAQ23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1963500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1958856.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.580411337553

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.
2037-01-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.60088000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
OCCIDENTAL PETROLEUM COR
b. LEI (if any) of issuer. (1)
IM7X0T3ECJW4C1T7ON55
c. Title of the issue or description of the investment.
Occidental Petroleum Corp
d. CUSIP (if any).
674599DJ1
At least one of the following other identifiers:
- ISIN
US674599DJ13
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJCRNM4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1330000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1405012.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.416306681082

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.
2040-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.20000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
UK CLEARING HOUSE LIMITED
b. LEI (if any) of issuer. (1)
213800O8SCO4XJGBU385
c. Title of the issue or description of the investment.
IRS USD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SW0WS050708
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-325301.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.09638712783

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)
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.

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
#1UK CLEARING HOUSE LIMITED213800O8SCO4XJGBU385

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.
2.50400000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
N/A
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
US CPI URBAN CONSUMERS
Payments: Floating rate Spread.
0.00000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
0
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
0
Payments: Base currency
United States Dollar
Payments: Amount
-21580000.00000000

ii. Termination or maturity date.
2026-03-22
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.00000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
21580000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-325301.22000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
USD/CLP FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EHJ94IXOIVAGD
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44047.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013051461507

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)
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.

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. LLC9R7GPTSO7KV3UQJZQ078

i. Amount and description of currency sold.
Amount of currency sold.
-3021201024.00000000
Description of currency sold.
Chile Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
4212259.53000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
44047.96000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Chase Mortgage Finance Corpora
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Chase Mortgage Finance Trust Series 2007-A1
d. CUSIP (if any).
161630AJ7
At least one of the following other identifiers:
- ISIN
US161630AJ72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2808.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2818.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000835130736

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)
Variable
ii. Annualized rate.
2.79096600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378NK51
At least one of the following other identifiers:
- ISIN
US38378NK511

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
251817.76000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3391.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001004810557

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 agency

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.
2048-02-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.13141000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL ELECTRIC CO
b. LEI (if any) of issuer. (1)
3C7474T6CDKPR9K6YT90
c. Title of the issue or description of the investment.
General Electric Co
d. CUSIP (if any).
369604BY8
At least one of the following other identifiers:
- ISIN
US369604BY81
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLB4M56
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
130000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
148362.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.043960015949

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.
2050-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.35000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
ENTERPRISE PRODUCTS OPER
b. LEI (if any) of issuer. (1)
5493004LGN656HWLDA30
c. Title of the issue or description of the investment.
Enterprise Products Operating LLC
d. CUSIP (if any).
29379VBV4
At least one of the following other identifiers:
- ISIN
US29379VBV45
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BHWTW63
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1170000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1245896.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.369160618794

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.
2029-07-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Countrywide Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CWHEQ Revolving Home Equity Loan Trust Series 2006-I
d. CUSIP (if any).
12668FAB0
At least one of the following other identifiers:
- ISIN
US12668FAB04
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B1WSV05
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
553866.36000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
535822.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.158764826652

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.
2037-01-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.24088000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHICAGO MERCANTILE EXCHANGE INC.
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
EURO FOREIGN EXCHANGE CURRENCY
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
ECM1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00D1PWP94
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
53.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
178080.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.052765310023

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CHICAGO MERCANTILE EXCHANGE INC.SNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
CHICAGO MERCANTILE EXCHANGE
Title of issue.
EURO CURRENCY 2PM
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
EUROFX
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-06-14
iv. Aggregate notional amount or contract value on trade date.
7907401.25000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
178080.00000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810PS1
At least one of the following other identifiers:
- ISIN
US912810PS15
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B1P8M10
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5253800.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6514242.68000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.930177642522

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.
2027-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.37500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
CAD/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EGJ24FFYTNSSC
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-116490.69000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.03451632621

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)
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.

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.
-4047196.32000000
Description of currency sold.
Canada Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
3233463.02000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-116490.69000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378BSB6
At least one of the following other identifiers:
- ISIN
US38378BSB61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
657896.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1835.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000543967441

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 agency

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.
2049-03-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.08651000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
5493003FQV7GR462GO02
c. Title of the issue or description of the investment.
Freddie Mac Stacr Remic Trust 2020-DNA1
d. CUSIP (if any).
35565HBD6
At least one of the following other identifiers:
- ISIN
US35565HBD61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
440000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
439700.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.130283909071

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.
2050-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.39163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38376G5V8
At least one of the following other identifiers:
- ISIN
US38376G5V89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1894047.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1689.68000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000500654138

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 agency

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.
2046-09-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.01000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Natixis Commercial Mortgage Se
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Natixis Commercial Mortgage Securities Trust 2019-TRUE
d. CUSIP (if any).
63874DAA0
At least one of the following other identifiers:
- ISIN
US63874DAA00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2050000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2028593.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.601074719484

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.
2024-04-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.51050000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
HALLIBURTON CO
b. LEI (if any) of issuer. (1)
ENYF8GB5SMQZ25S06U51
c. Title of the issue or description of the investment.
Halliburton Co
d. CUSIP (if any).
406216BG5
At least one of the following other identifiers:
- ISIN
US406216BG59
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYNR4P8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14415.29000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004271267104

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.
2025-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.80000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
INDONESIA GOVERNMENT
b. LEI (if any) of issuer. (1)
529900FWX0GRR7WG5W79
c. Title of the issue or description of the investment.
Indonesia Treasury Bond
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
IDG000009804
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3ZR761
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49188000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
3644771.06000000
f. Exchange rate.
14285.00000000
g. Percentage value compared to net assets of the Fund.
1.079949881775

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)
INDONESIA
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GLENCORE FINANCE CANADA
b. LEI (if any) of issuer. (1)
5493005TTO0UJ33KCK70
c. Title of the issue or description of the investment.
Glencore Finance Canada Ltd
d. CUSIP (if any).
98417EAR1
At least one of the following other identifiers:
- ISIN
US98417EAR18
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8J4KW0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1170000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1447490.71000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.428893171999

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)
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.
2042-10-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
YPF SOCIEDAD ANONIMA
b. LEI (if any) of issuer. (1)
5493003N7447U18U5U53
c. Title of the issue or description of the investment.
YPF SA
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
USP989MJBE04
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BX2H2W5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
800000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
596000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.176595489522

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)
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.
2025-07-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Series 2019-NQM1
d. CUSIP (if any).
12655VAA2
At least one of the following other identifiers:
- ISIN
US12655VAA26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
680237.17000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
693747.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.205558145376

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.
2059-10-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.65600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140HXMR8
At least one of the following other identifiers:
- ISIN
US3140HXMR85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
106591.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.031583202545

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.
2035-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.68000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
USD/MYR FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EGJ23DCCVPGSU
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2917.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.00086436380

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)
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.

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. LLC9R7GPTSO7KV3UQJZQ078

i. Amount and description of currency sold.
Amount of currency sold.
-2749506.77000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
11377459.00000000
Description of currency purchased.
Malaysia Ringgit
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-2917.18000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810FS2
At least one of the following other identifiers:
- ISIN
US912810FS25
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B0XM6G0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
33363500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
39744670.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
11.77639192154

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.
2026-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XJX3
At least one of the following other identifiers:
- ISIN
US30711XJX30
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD3FTH2
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1171657.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1204567.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.356914788279

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.
2029-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.09163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
BRL/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EKJ315JLANVAO
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
280232.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.083033086546

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)
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.

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. LLC9R7GPTSO7KV3UQJZQ078

i. Amount and description of currency sold.
Amount of currency sold.
-3156001.76000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
17996828.00000000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
280232.07000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CANADIAN GOVERNMENT RRB
b. LEI (if any) of issuer. (1)
4BFD7AQU0A75QLAHK410
c. Title of the issue or description of the investment.
Canadian When Issued Government Real Return Bond
d. CUSIP (if any).
135087G99
At least one of the following other identifiers:
- ISIN
CA135087G997
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BG7PCR0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1568215.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
1401054.01000000
f. Exchange rate.
1.20805000
g. Percentage value compared to net assets of the Fund.
0.415133924066

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)
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.
2050-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137ARUW4
At least one of the following other identifiers:
- ISIN
US3137ARUW47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1276533.99000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
66712.43000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.019766970189

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.
2027-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140JA4J4
At least one of the following other identifiers:
- ISIN
US3140JA4J45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
467097.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
506515.33000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.150081078275

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.
2035-01-01
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.79000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BAUSCH HEALTH AMERICAS
b. LEI (if any) of issuer. (1)
KOO0397YRO83WY5MGD97
c. Title of the issue or description of the investment.
Bausch Health Americas Inc
d. CUSIP (if any).
91911XAV6
At least one of the following other identifiers:
- ISIN
US91911XAV64
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BG487H7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1390000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1502937.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.445322120024

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.
2026-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XAP9
At least one of the following other identifiers:
- ISIN
US30711XAP96
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BSQC9Y2
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
499674.98000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
516974.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.153180180965

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.
2024-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.99163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BXMT Ltd
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BXMT 2020-FL2 LTD
d. CUSIP (if any).
12434LAA2
At least one of the following other identifiers:
- ISIN
US12434LAA26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
660000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
660165.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.195607653256

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)
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.
2038-02-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.00088000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COMMODITY EXCHANGE, INC.
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COPPER
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
HGN1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00DFCQBZ7
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
98.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1150030.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.340755219489

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-commodity
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1COMMODITY EXCHANGE, INC.N/A

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
COPPER
Title of issue.
COPPER
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
COPPER
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-07-28
iv. Aggregate notional amount or contract value on trade date.
10309845.00000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
1150030.00000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912828TE0
At least one of the following other identifiers:
- ISIN
US912828TE09
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8DFZ68
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
32250960.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33609713.91000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
9.958597115183

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.
2022-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHICAGO MERCANTILE EXCHANGE INC.
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
MEXICAN PESO CURRENCY
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
PEM1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00QTHGRR7
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
97.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
159981.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.047402665016

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CHICAGO MERCANTILE EXCHANGE INC.SNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
MEXICAN PESO
Title of issue.
MEXICAN PESO
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
MEXICANPESO1
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-06-14
iv. Aggregate notional amount or contract value on trade date.
2271323.64000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
159981.37000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GLENCORE FUNDING LLC
b. LEI (if any) of issuer. (1)
213800STG1QDNBY87K49
c. Title of the issue or description of the investment.
Glencore Funding LLC
d. CUSIP (if any).
378272AN8
At least one of the following other identifiers:
- ISIN
US378272AN87
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYQ47H9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
222051.15000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.065794012639

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.
2027-03-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
USD/BRL FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EJJ911GPIYGBC
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
81359.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.024106902124

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)
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.

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.
-1171177.60000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
6560000.00000000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
81359.46000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912828X39
At least one of the following other identifiers:
- ISIN
US912828X398
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDHBMM2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
37031100.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
38128051.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
11.29738567266

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.
2022-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
ICE FUTURES EUROPE
b. LEI (if any) of issuer. (1)
549300UF4R84F48NCH34
c. Title of the issue or description of the investment.
BRENT CRUDE OIL
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
COZ1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG006M2M2B6
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
124.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
712934.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.211243406046

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-commodity
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1ICE FUTURES EUROPE549300UF4R84F48NCH34

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
BRENT CRUDE
Title of issue.
BRENT CRUDE
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BRENTCRUDE
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-10-29
iv. Aggregate notional amount or contract value on trade date.
7582665.20000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
712934.80000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
UK CLEARING HOUSE LIMITED
b. LEI (if any) of issuer. (1)
213800O8SCO4XJGBU385
c. Title of the issue or description of the investment.
IRS USD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SW0WS050682
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
313171.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.092793222951

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)
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.

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
#1UK CLEARING HOUSE LIMITED213800O8SCO4XJGBU385

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.
US CPI URBAN CONSUMERS
Receipts: Floating rate Spread.
0.00000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
0
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
0
Receipts: Base currency.
United States Dollar
Receipts: Amount.
21580000.00000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: Fixed rate.
2.57000000
Payments: Base currency
United States Dollar
Payments: Amount
N/A

ii. Termination or maturity date.
2023-03-22
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.00000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
-21580000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
313171.99000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Morgan Stanley Capital Inc
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley ABS Capital I Inc Trust 2004-HE7
d. CUSIP (if any).
61744CGD2
At least one of the following other identifiers:
- ISIN
US61744CGD20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
694604.99000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
690416.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.204571109925

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.
2034-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.99163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Merrill Lynch Mortgage Investo
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
d. CUSIP (if any).
59020UAB1
At least one of the following other identifiers:
- ISIN
US59020UAB17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4223.75000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4346.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001287861126

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.
2034-02-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.31012500
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
T-MOBILE USA INC
b. LEI (if any) of issuer. (1)
549300V2JRLO5DIFGE82
c. Title of the issue or description of the investment.
T-Mobile USA Inc
d. CUSIP (if any).
87264ABD6
At least one of the following other identifiers:
- ISIN
US87264ABD63
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BN79ZV6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
40000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44039.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013048925169

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.
2027-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHEVRON USA INC
b. LEI (if any) of issuer. (1)
VA8TZDWPEZYU430RZ444
c. Title of the issue or description of the investment.
Chevron USA Inc
d. CUSIP (if any).
166756AP1
At least one of the following other identifiers:
- ISIN
US166756AP14
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BNGDPB9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
221319.33000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.065577173527

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.
2024-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.90000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378NDN0
At least one of the following other identifiers:
- ISIN
US38378NDN03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
203770.06000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
761.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000225502958

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 agency

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.
2044-09-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.00100000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GAZPROM (GAZ CAPITAL SA)
b. LEI (if any) of issuer. (1)
213800568PRHV2JR9650
c. Title of the issue or description of the investment.
Gazprom PJSC Via Gaz Capital SA
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
XS1951086849
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJKVRV5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1430000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1602924.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.474948288984

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.
2026-02-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.15000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
FHLMC Multifamily Structured P
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137BM6Q4
At least one of the following other identifiers:
- ISIN
US3137BM6Q42
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYT4HN2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
140431854.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
423837.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.125583506038

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.
2022-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.29746400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
EOG RESOURCES INC
b. LEI (if any) of issuer. (1)
XWTZDRYZPBUHIQBKDB46
c. Title of the issue or description of the investment.
EOG Resources Inc
d. CUSIP (if any).
26875PAT8
At least one of the following other identifiers:
- ISIN
US26875PAT84
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLB9JH2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
120000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
153077.14000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.045356933679

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.
2050-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.95000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL ELECTRIC CO
b. LEI (if any) of issuer. (1)
3C7474T6CDKPR9K6YT90
c. Title of the issue or description of the investment.
General Electric Co
d. CUSIP (if any).
369604BV4
At least one of the following other identifiers:
- ISIN
US369604BV43
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLD2065
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
50000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
55094.03000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.016324424828

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.
2027-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.45000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
CBOT 10 Year US Treasury Note
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
TYU1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00YHYJ314
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
629.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-50231.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.01488378193

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)
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOARD OF TRADE OF THE CITY OF CHICAGO, INC.549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
US TREASURY N/B
Title of issue.
UNITED STATES TREASURY NOTE/BOND
At least one of the following other identifiers:
- CUSIP.
9128284N7
- ISIN (if CUSIP is not available).
US9128284N73
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BD59D36
If other identifier provided, indicate the type of identifier used.
SEDOL
iii. Expiration date.
2021-09-21
iv. Aggregate notional amount or contract value on trade date.
83038919.44000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-50231.94000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
MORGAN STANLEY & CO. LLC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP841428
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-15862500.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-15862500.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-4.70007710159

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)
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.

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
MORGAN STANLEY & CO. LLC
c. Tri-party? Yes No
d. Repurchase rate.
0.20000000
e. Maturity date.
2021-06-11
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)
#1218588.92600000 United States Dollar 218588.92600000 United States Dollar
#210000000.00000000 United States Dollar 13471057.26000000 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: 148

Item C.1. Identification of investment.

a. Name of issuer (if any).
KAZTRANSGAS JSC
b. LEI (if any) of issuer. (1)
635400YGLXBBSVHONW39
c. Title of the issue or description of the investment.
KazTransGas JSC
d. CUSIP (if any).
48668NAA9
At least one of the following other identifiers:
- ISIN
US48668NAA90
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD35XN6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1600000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1787064.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.529509130684

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)
KAZAKHSTAN
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.37500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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 - STACR
b. LEI (if any) of issuer. (1)
5493007ZK0X40BI7UF30
c. Title of the issue or description of the investment.
Freddie Mac STACR Remic Trust 2020-DNA2
d. CUSIP (if any).
35565KAH1
At least one of the following other identifiers:
- ISIN
US35565KAH14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
650000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
655831.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.194323489968

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.
2050-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.94163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
NOTA DO TESOURO NACIONAL
b. LEI (if any) of issuer. (1)
254900ZFY40OYEADAP90
c. Title of the issue or description of the investment.
Brazil Notas do Tesouro Nacional Serie F
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
BRSTNCNTF1P8
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYYCKC1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
965000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
196579.37000000
f. Exchange rate.
5.21170000
g. Percentage value compared to net assets of the Fund.
0.058246694757

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)
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.
2027-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BHP BILLITON FIN USA LTD
b. LEI (if any) of issuer. (1)
5493003NUVITP3TMY274
c. Title of the issue or description of the investment.
BHP Billiton Finance USA Ltd
d. CUSIP (if any).
055451AV0
At least one of the following other identifiers:
- ISIN
US055451AV01
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF6DYK5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
810000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1076294.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.318907287755

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)
AUSTRALIA
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378XYD7
At least one of the following other identifiers:
- ISIN
US38378XYD73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9085191.79000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
296803.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.087943137462

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 agency

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.
2056-10-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.68951000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BHMS Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BHMS 2018-ATLS
d. CUSIP (if any).
05549GAL5
At least one of the following other identifiers:
- ISIN
US05549GAL59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2520000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2516534.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.745652006733

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.
2035-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.35088000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
NEW YORK MERCANTILE EXCHANGE, INC.
b. LEI (if any) of issuer. (1)
5493008GFNDTXFPHWI47
c. Title of the issue or description of the investment.
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
CLZ1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG003MVLRV3
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
101.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
355120.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.105222620920

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-commodity
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NEW YORK MERCANTILE EXCHANGE, INC.5493008GFNDTXFPHWI47

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
Title of issue.
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
WESTTXCRUDEOIL
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-11-19
iv. Aggregate notional amount or contract value on trade date.
6099789.48000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
355120.52000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912828QV5
At least one of the following other identifiers:
- ISIN
US912828QV50
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B6Q7TJ8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5876150.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5944510.48000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.761365332529

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.
2021-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
REPUBLIC OF NIGERIA
b. LEI (if any) of issuer. (1)
549300GSBZD84TNEQ285
c. Title of the issue or description of the investment.
Nigeria Government International Bond
d. CUSIP (if any).
65412JAC7
At least one of the following other identifiers:
- ISIN
US65412JAC71
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF2W0F3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
213737.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.063330757416

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)
NIGERIA
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137ARKV7
At least one of the following other identifiers:
- ISIN
US3137ARKV73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
455300.39000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22307.03000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.006609598796

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.
2027-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BARRICK GOLD CORP
b. LEI (if any) of issuer. (1)
0O4KBQCJZX82UKGCBV73
c. Title of the issue or description of the investment.
Barrick Gold Corp
d. CUSIP (if any).
067901AH1
At least one of the following other identifiers:
- ISIN
US067901AH18
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8L1XS6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
170000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
216664.58000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.064197965716

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)
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.
2042-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
AUD/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EJJ911F4NBNKW
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
819.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000242925466

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)
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.

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.
-111189.02000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
145262.34000000
Description of currency purchased.
Australia Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
819.86000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912828UH1
At least one of the following other identifiers:
- ISIN
US912828UH11
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B96LV84
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11475400.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12045771.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.569175912887

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.
2023-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL ELECTRIC CO
b. LEI (if any) of issuer. (1)
3C7474T6CDKPR9K6YT90
c. Title of the issue or description of the investment.
General Electric Co
d. CUSIP (if any).
369604BW2
At least one of the following other identifiers:
- ISIN
US369604BW26
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLD2043
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
110000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
120928.76000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.035831331492

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.
3.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Government National Mortgage A
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378NF99
At least one of the following other identifiers:
- ISIN
US38378NF990

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
972460.01000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
35737.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.010588979630

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 agency

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.
2055-09-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.67726000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810QV3
At least one of the following other identifiers:
- ISIN
US912810QV35
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B622LB3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10198401.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12170597.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.606162258883

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.
2042-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
OCCIDENTAL PETROLEUM COR
b. LEI (if any) of issuer. (1)
IM7X0T3ECJW4C1T7ON55
c. Title of the issue or description of the investment.
Occidental Petroleum Corp
d. CUSIP (if any).
674599CM5
At least one of the following other identifiers:
- ISIN
US674599CM50
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ1C634
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
810000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
767353.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.227367729814

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.
2027-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GLENCORE FUNDING LLC
b. LEI (if any) of issuer. (1)
213800STG1QDNBY87K49
c. Title of the issue or description of the investment.
Glencore Funding LLC
d. CUSIP (if any).
378272AT5
At least one of the following other identifiers:
- ISIN
US378272AT57
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJLBZH6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
370000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
400799.82000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.118757450358

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.
2024-03-12
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G0NX3
At least one of the following other identifiers:
- ISIN
US3137G0NX39
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYX1V37
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1300000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1356668.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.401982463880

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.
2029-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.54163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Citibank, National Association
b. LEI (if any) of issuer. (1)
E57ODZWZ7FF32TWEFA76
c. Title of the issue or description of the investment.
MXN/USD FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EJJ91EBKAILRO
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-97768.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.02896895817

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)
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.

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.
-117621722.26000000
Description of currency sold.
Mexico Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
5773540.29000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-97768.63000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COMMODITY EXCHANGE, INC.
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOLD 100 TROY OUNCES
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
GCQ1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00QB3JNT1
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
66.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
242055.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.071721176537

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-commodity
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.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1COMMODITY EXCHANGE, INC.N/A

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
GOLD
Title of issue.
GOLD
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
GOLD1
If other identifier provided, indicate the type of identifier used.
INTERNAL
iii. Expiration date.
2021-08-27
iv. Aggregate notional amount or contract value on trade date.
12332925.00000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
242055.00000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
MORGAN STANLEY & CO. LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
USD/JPY FORWARD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
N/A
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
C10EGJ23JH6PQXAE
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-834.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.00024739368

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)
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.

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. LLC9R7GPTSO7KV3UQJZQ078

i. Amount and description of currency sold.
Amount of currency sold.
-99967625.00000000
Description of currency sold.
Japan Yen
ii. Amount and description of currency purchased.
Amount of currency purchased.
909689.74000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-07-19
iv. Unrealized appreciation or depreciation. (24)
-834.94000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
REPUBLIC OF INDONESIA
b. LEI (if any) of issuer. (1)
529900FWX0GRR7WG5W79
c. Title of the issue or description of the investment.
Indonesia Government International Bond
d. CUSIP (if any).
455780CE4
At least one of the following other identifiers:
- ISIN
US455780CE46
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF133W5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
290000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
321350.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.095216438998

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)
INDONESIA
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-01-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.35000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
TSY INFL IX N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Inflation Indexed Bonds
d. CUSIP (if any).
912810QP6
At least one of the following other identifiers:
- ISIN
US912810QP66
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3XRK75
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3459255.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5139919.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.522964236535

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.
2041-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Saxon Asset Securities Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Saxon Asset Securities Trust 2006-3
d. CUSIP (if any).
80556AAD9
At least one of the following other identifiers:
- ISIN
US80556AAD90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1110000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
994213.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.294586631013

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.
2046-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.33163000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
Nomura Resecuritization Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Nomura Resecuritization Trust 2015-4R
d. CUSIP (if any).
65540WBJ7
At least one of the following other identifiers:
- ISIN
US65540WBJ71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2803513.84000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2533821.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.750774301131

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)
Floating
ii. Annualized rate.
0.24613000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as 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.

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:
Western Asset Inflation-Linked Income Fund
By (Signature):
Christopher Berarducci
Name:
Christopher Berarducci
Title:
Principal Financial Officer
Date:
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