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

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

FORM NPORT-P
Monthly Portfolio Investments Report

NPORT-P: Filer Information

Confidential ☐
Filer CIK
0001296250
Filer CCC
********
Filer Investment Company Type
Is this a LIVE or TEST Filing? ☐ LIVE ☐ TEST
Would you like a Return Copy? ☐
Is this an electronic copy of an official filing submitted in paper format? ☐

Submission Contact Information

Name
Phone
E-Mail Address

Notification Information

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

NPORT-P: Part A: General Information

Item A.1. Information about the Registrant.

a. Name of Registrant
PIMCO Income Strategy Fund II
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-21601
c. CIK number of Registrant
0001296250
d. LEI of Registrant
RS8VXHJKKVE627NLC573
e. Address and telephone number of Registrant:
i. Street Address 1
1633 Broadway
ii. Street Address 2
iii. City
New York
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
10019
vii. Telephone number
(844) 337-4626

Item A.2. Information about the Series.

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

Item A.3. Reporting period.

a. Date of fiscal year-end.
2022-07-31
b. Date as of which information is reported.
2021-10-31

Item A.4. Final filing

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

NPORT-P: Part B: Information About the Fund

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

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

a. Total assets, including assets attributable to miscellaneous securities reported in Part D.
1241634288.360000
b. Total liabilities.
528827143.520000
c. Net assets.
712807144.840000

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

a. Assets attributable to miscellaneous securities reported in Part D.
0.000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
0.000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
246667968.220000
Controlled companies.
0.000000
Other affiliates.
0.000000
Others.
0.000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.000000
Controlled companies.
0.000000
Other affiliates.
0.000000
Others.
0.000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
7208264.500000
(ii) On a standby commitment basis:
0.000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
87425000.000000
f. Cash and cash equivalents not reported in Parts C and D.
14016115.690000

Item B.3. Portfolio level risk metrics.

If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide:
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Currency Metric RecordISO Currency code3 month1 year5 years10 years30 years
#1 United States Dollar
Interest Rate Risk (DV01)
-2088.07700249869.597660171012.471994189057.524276-174624.392805
Interest Rate Risk (DV100)
-89892.9624415442411.83701416713422.86455717424619.977792-14705105.443909
#2 Australia Dollar
Interest Rate Risk (DV01)
0.000000897.4116061265.0258870.0000000.000000
Interest Rate Risk (DV100)
0.00000087882.737768123882.8844580.0000000.000000
#3 Canada Dollar
Interest Rate Risk (DV01)
39.00074716.1889890.0000000.0000000.000000
Interest Rate Risk (DV100)
2198.250466912.4813180.0000000.0000000.000000
#4 Euro Member Countries
Interest Rate Risk (DV01)
3.0768725709.83483211252.21584010231.78986216228.134606
Interest Rate Risk (DV100)
-394.326444590613.5376671128934.126624729653.0813781365215.186141
#5 Argentina Peso
Interest Rate Risk (DV01)
0.00409917.4982937.0607150.0000000.000000
Interest Rate Risk (DV100)
-14.7657991720.725832694.3280480.0000000.000000
#6 Peru Sol
Interest Rate Risk (DV01)
0.00000030.61091322.1665250.0000000.000000
Interest Rate Risk (DV100)
0.0000003011.1358322180.4778210.0000000.000000
#7 United Kingdom Pound
Interest Rate Risk (DV01)
3.3826801370.1579628274.830380-3076.651208-7530.461682
Interest Rate Risk (DV100)
337.495603135145.479747800667.025470-350000.206945-634086.319126

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 -937.95310020334.644400111850.481400158747.038000-163702.206200
Non-Investment grade 36250.04920061156.68820089818.68040041649.1912003302.795300

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
#14.123586-10.2285520.251213

b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.

Asset category Instrument type Month 1 Month 2 Month 3
Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation)
Commodity Contracts — — — — — —
Credit Contracts0.000000344893.6200000.000000-93858.95000017981.050000260754.840000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap 0.000000344893.6200000.000000-93858.95000017981.050000260754.840000
Warrant — — — — — —
Other — — — — — —
Equity Contracts0.0000001029693.6700000.000000-114903.8800000.00000024650.760000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap — — — — — —
Warrant 0.0000001029693.6700000.000000-114903.8800000.00000024650.760000
Other — — — — — —
Foreign Exchange Contracts520.0100001058866.420000-3948.2900001318480.140000-46961.830000-2502382.730000
Forward 520.0100001058866.420000-3948.2900001318480.140000-46961.830000-2502382.730000
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap — — — — — —
Warrant — — — — — —
Other — — — — — —
Interest Rate Contracts27990111.100000-29496660.480000-546116.7000003207838.3000000.000000-4284014.680000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap 27990111.100000-29496660.480000-546116.7000003207838.3000000.000000-4284014.680000
Warrant — — — — — —
Other — — — — — —
Other Contracts — — — — — —

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

MonthMonthly net realized gain(loss)Monthly net change in unrealized appreciation (or depreciation)
Month 1 2931823.620000585727.620000
Month 2 1064093.040000-12497580.250000
Month 3 7295298.910000-11862279.820000

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 0.000000694252.8500000.000000
Month 2 0.000000710733.8400000.000000
Month 3 2500107.810000633469.0800000.000000

Item B.7. Highly Liquid Investment Minimum information.

a. If applicable, provide the Fund's current Highly Liquid Investment Minimum.
—
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period.
—
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? ☐ Yes ☐ No ☐ N/A

Item B.8. Derivatives Transactions.

For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]:
(1) Moderately Liquid Investments
(2) Less Liquid Investments
(3) Illiquid Investments
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments.
Classification
—

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

If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information:
a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value.
—
b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
—
c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
—
d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period.
—

Item B.10. VaR information.

For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day:
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value.
—
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide:
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio.
—
ii. As applicable, the index identifier for the Fund’s Designated Index.
—
iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio.
—
c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period.
—

NPORT-P: Part C: Schedule of Portfolio Investments

For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public.
Schedule of Portfolio Investments Record: 1

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP/BOUGHT USD
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
21JEKBBPNRL
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-20070.350000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
-0.0028157

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
2040000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
2771773.090000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-20070.350000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT USD
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
21HCKBCCVCL
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-9287.220000
f. Exchange rate.
4.007900
g. Percentage value compared to net assets of the Fund.
-0.0013029

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
2064486.970000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
505815.750000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2022-02-07
iv. Unrealized appreciation or depreciation. (24)
-9287.220000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT USD
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
21HNKBB3XWM
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-14801.080000
f. Exchange rate.
3.993300
g. Percentage value compared to net assets of the Fund.
-0.0020764

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1941973.000000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
471501.440000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-23
iv. Unrealized appreciation or depreciation. (24)
-14801.080000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21HOKBB5DJW
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-1749.550000
f. Exchange rate.
4.012200
g. Percentage value compared to net assets of the Fund.
-0.0002454

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
245715.800000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
59492.470000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2022-02-24
iv. Unrealized appreciation or depreciation. (24)
-1749.550000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21HSKBB8B0R
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-8184.000000
f. Exchange rate.
3.994400
g. Percentage value compared to net assets of the Fund.
-0.0011481

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1253920.510000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
305738.520000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-30
iv. Unrealized appreciation or depreciation. (24)
-8184.000000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21ICKBB68XN
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-27320.270000
f. Exchange rate.
4.015200
g. Percentage value compared to net assets of the Fund.
-0.0038328

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
4075776.880000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
987755.830000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2022-03-08
iv. Unrealized appreciation or depreciation. (24)
-27320.270000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21JRKBCCXZX
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
339.660000
f. Exchange rate.
4.028100
g. Percentage value compared to net assets of the Fund.
0.0000477

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1941973.000000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
482441.810000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2022-04-28
iv. Unrealized appreciation or depreciation. (24)
339.660000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21JTKBCCV3J
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
1291.860000
f. Exchange rate.
4.060100
g. Percentage value compared to net assets of the Fund.
0.0001812

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1253920.510000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
310130.720000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2022-08-02
iv. Unrealized appreciation or depreciation. (24)
1291.860000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21HJKBB3RH5
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
337.630000
f. Exchange rate.
71.174900
g. Percentage value compared to net assets of the Fund.
0.0000474

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

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
#1CREDIT SUISSE INTERNATIONALE58DKGMJYYYJLN8C3868

i. Amount and description of currency sold.
Amount of currency sold.
6809.310000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
508683.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-11-22
iv. Unrealized appreciation or depreciation. (24)
337.630000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ASSOCIATED MATERIALS LLC / AMH NEW FINANCE INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ASSOC MAT LLC/AMH NEW FI SR SECURED 144A 09/25 9
d. CUSIP (if any).
04570XAC3
At least one of the following other identifiers:
- ISIN
US04570XAC39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
304000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
323487.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0453823

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ASTOUND BROADBAND (RADIATE HOLDCO LLC)
b. LEI (if any) of issuer. (1)
5493000GQJ5RDX9DNJ71
c. Title of the issue or description of the investment.
ASTOUND RADIATE BRIDGE BRIDGE TERM LOAN A
d. CUSIP (if any).
943ZATII1
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL37549A0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3552000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3546171.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4974938

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.5066
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21HKKBB7D13
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
1007.820000
f. Exchange rate.
71.174900
g. Percentage value compared to net assets of the Fund.
0.0001414

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
21103.350000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1573761.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-11-22
iv. Unrealized appreciation or depreciation. (24)
1007.820000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21IFKBB7RGX
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
1348.000000
f. Exchange rate.
71.581400
g. Percentage value compared to net assets of the Fund.
0.0001891

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
36063.740000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
2677985.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-12-20
iv. Unrealized appreciation or depreciation. (24)
1348.000000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21JIKBB6HC3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
120.410000
f. Exchange rate.
72.106900
g. Percentage value compared to net assets of the Fund.
0.0000169

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
7414.070000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
543288.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2022-01-24
iv. Unrealized appreciation or depreciation. (24)
120.410000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21JLKBB9LFV
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
57.770000
f. Exchange rate.
72.106900
g. Percentage value compared to net assets of the Fund.
0.0000081

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
7333.970000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
532996.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2022-01-24
iv. Unrealized appreciation or depreciation. (24)
57.770000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21JMKBBZ1WN
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
11.540000
f. Exchange rate.
72.106900
g. Percentage value compared to net assets of the Fund.
0.0000016

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
11595.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
836912.030000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2022-01-24
iv. Unrealized appreciation or depreciation. (24)
11.540000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21JMKBBZ5X2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
23.020000
f. Exchange rate.
72.106900
g. Percentage value compared to net assets of the Fund.
0.0000032

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
12111.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
874947.080000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2022-01-24
iv. Unrealized appreciation or depreciation. (24)
23.020000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
AT&T INC
b. LEI (if any) of issuer. (1)
549300Z40J86GGSTL398
c. Title of the issue or description of the investment.
AT+T INC SR UNSECURED 02/61 3.5
d. CUSIP (if any).
00206RKF8
At least one of the following other identifiers:
- ISIN
US00206RKF81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1422000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1388548.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1948001

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.
2061-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AT&T INC
b. LEI (if any) of issuer. (1)
549300Z40J86GGSTL398
c. Title of the issue or description of the investment.
AT+T INC SR UNSECURED 06/60 3.85
d. CUSIP (if any).
00206RKB7
At least one of the following other identifiers:
- ISIN
US00206RKB77

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2548000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2694263.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3779793

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.
2060-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.85
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR/SOLD 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
21JQKBBQ7BH
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-8043.350000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0011284

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
1428767.190000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1229000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-8043.350000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR/SOLD 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
21JSKBBTR06
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-2696.140000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0003782

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
1001480.030000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
864000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-2696.140000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21HJKBB4ZNF
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
64.440000
f. Exchange rate.
71.174900
g. Percentage value compared to net assets of the Fund.
0.0000090

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
1303.440000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
97359.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-11-22
iv. Unrealized appreciation or depreciation. (24)
64.440000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR/BOUGHT 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
21JNKBBSVL2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
17354.820000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0024347

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
2393000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
2783662.510000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
17354.820000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21CEKBCDKJH
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
3675.990000
f. Exchange rate.
3.995800
g. Percentage value compared to net assets of the Fund.
0.0005157

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
182810.000000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
49426.680000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-12-09
iv. Unrealized appreciation or depreciation. (24)
3675.990000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0K7C0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
395958.240000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0555491

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
Title of issue.
JAGUAR LAND ROVER AUTOMO
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
XS1025866119
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2026-06-21
iii. Upfront payments or receipts
Upfront payments.
479679.370000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
6800000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-83721.130000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0KB84
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
69273.000000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0097183

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
Title of issue.
JAGUAR LAND ROVER AUTOMO SR UNSEC REGS
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
XS1551347393
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2026-12-22
iii. Upfront payments or receipts
Upfront payments.
51081.820000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
1300000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
18191.180000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT GBP/SOLD 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
21JIKBBTNCZ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
14694.590000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0020615

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

i. Amount and description of currency sold.
Amount of currency sold.
3732397.240000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
2738000.000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
14694.590000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
AVOCA CLO XX DAC 20A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AVOCA CLO AVOCA 20A SUB 144A
d. CUSIP (if any).
ACI19ZJ22
At least one of the following other identifiers:
- ISIN
XS1970750151

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2230000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2136390.670000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2997151

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-07-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR/SOLD 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
21JJKBBM6PL
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-2833.200000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0003975

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NATWEST MARKETS PLCRR3QWICWWIPCS8A4S074

i. Amount and description of currency sold.
Amount of currency sold.
525345.140000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
452000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-2833.200000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PETROBRAS INTL FINANC SNR LA SP BPS
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
SWPC07P54
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-25034.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0035121

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
PETROBRAS GLOBAL FINANCE BV
Title of issue.
PETROBRAS GLOBAL FINANCE SR UNSEC
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US71645WAH43
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2024-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-195334.540000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
170300.080000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PETROBRAS INTL FINANC SNR LA SP GST
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
SWPC07OY2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-35048.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0049169

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1GOLDMAN SACHS INTERNATIONALW22LROWP2IHZNBB6K528

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
PETROBRAS GLOBAL FINANCE BV
Title of issue.
PETROBRAS GLOBAL FINANCE SR UNSEC
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US71645WAH43
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2024-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-277802.060000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
242753.810000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PETROBRAS INTL FINANC SNR LA SP HUS
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
SWPC07OW6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-42558.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0059706

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK USA, NATIONAL ASSOCIATION1IE8VN30JCEQV1H4R804

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
PETROBRAS GLOBAL FINANCE BV
Title of issue.
PETROBRAS GLOBAL FINANCE SR UNSEC
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US71645WAH43
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2024-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-352921.900000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1700000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
310363.310000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ROLLS-ROYCE PLC SNR SE ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ0Q6JW6TN43

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-322346.960000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0452222

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
ROLLS-ROYCE PLC
Title of issue.
ROLLS-ROYCE PLC
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
XS0944838241
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.000000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2025-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-1757499.420000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
14400000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
1435152.460000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR/SOLD 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
21JQKBBQ68S
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-17830.210000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0025014

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Royal Bank of CanadaES7IP3U3RHIGC71XBU11

i. Amount and description of currency sold.
Amount of currency sold.
3182957.860000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
2738000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-17830.210000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SEQUA CORP WARRANT
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US8173201539

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
189000.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
174007.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0244115

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
SEQUA CORPORATION
Title of issue.
SEQUA CORPORATION 144A
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US8173205001
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2024-04-28
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
174007.200000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SEQUA CORP WARRANT
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US8173201794

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
630000.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
329893.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0462809

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
SEQUA CORPORATION
Title of issue.
SEQUA CORPORATION 144A
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US8173205001
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2024-04-28
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
329893.820000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR/SOLD USD
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
21JRKBBRH6C
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-3548.150000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0004978

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
686744.070000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
591000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-3548.150000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR/BOUGHT 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
21IUKBB8SS7
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
269518.780000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0378109

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
75370697.010000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
87398034.770000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
269518.780000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT 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
21CFKBCLZ5F
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
2209.430000
f. Exchange rate.
3.995800
g. Percentage value compared to net assets of the Fund.
0.0003100

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
115041.000000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
31000.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-12-09
iv. Unrealized appreciation or depreciation. (24)
2209.430000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CIRS USD 5.25Y MAT 1.55% M 10/2021 BOA
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
SWU0ZV019
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10289.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0014436

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BANK OF AMERICA CORPORATION9DJT3UXIJIZJI4WXO774

1. The reference instrument is a derivative. (25)
Start of Nested Derivatives
a. Type of derivative instrument (21)
Swaption
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

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

Identification of investment.
Name of issuer (if any).
N/A
LEI (if any) of issuer. (22)
N/A
Title of the issue or description of the investment.
OTC USD ECAL 1.55 SW5 01/20/27 BOA
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
3175ZV019
Description of other unique identifier.
Internal ID

Amount of each investment.
Balance. (2)
Balance
0.000000
Units
Number of contracts
Description of other units.
Currency. (3)
United States Dollar
Value. (4)
0.000000
Exchange rate.
Percentage value compared to net assets of the Fund.
0.000000

Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
Asset type. (6)
Derivative-interest rate
Issuer type. (7)

Country of investment or issuer.
ISO country code. (8)
UNITED STATES OF AMERICA
Investment ISO country code. (9)

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☒ Written ☐ Purchased
1. The reference instrument is a derivative. (25)
Start of Nested Derivatives
a. Type of derivative instrument (21)
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
#1BANK OF AMERICA CORPORATION9DJT3UXIJIZJI4WXO774

Identification of investment.
Name of issuer (if any).
N/A
LEI (if any) of issuer. (22)
N/A
Title of the issue or description of the investment.
IRS USD R 1.55000 01/20/22-5Y BOA
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
SWU0ZV027
Description of other unique identifier.
Internal ID

Amount of each investment.
Balance. (2)
Balance
0.000000
Units
Number of contracts
Description of other units.
Currency. (3)
United States Dollar
Value. (4)
0.000000
Exchange rate.
Percentage value compared to net assets of the Fund.
0.000000

Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
Asset type. (6)
Derivative-interest rate
Issuer type. (7)

Country of investment or issuer.
ISO country code. (8)
UNITED STATES OF AMERICA
Investment ISO country code. (9)


ii. Description and terms of payments (23)

Description of reference instrument.

2. The reference instrument is an index or custom basket. (26)
Index name.
N/A
Index identifier, if any.
IRS USD R 1.55000 01/20/22-5Y BOA
Narrative description. (27)
N/A

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.550000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
N/A
ISO Currency Code.
USD
End of Nested Derivatives
iv. Number of shares or principal amount of underlying reference instrument per contract.
Principal amount of underlying reference instrument per contract.
N/A
ISO Currency Code.
United States Dollar
v. Exercise price or rate.
1.550000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2022-01-20
viii. Delta.
End of Nested Derivatives
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.550000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
35800000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
10289.970000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS AUD 3.50000 06/17/15-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU00BFM9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Australia Dollar
e. Value. (4)
476803.310000
f. Exchange rate.
1.329300
g. Percentage value compared to net assets of the Fund.
0.0668909

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
AUD-BBR-BBSW-Bloomberg 6M
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.500000
Receipts: Base currency.
Australia Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
AUD-BBR-BBSW-Bloomberg 6M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
6
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
6
Payments: Base currency
Australia Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-06-17
iii. Upfront payments or receipts
Upfront payments.
200704.640000
ISO Currency Code.
Australia Dollar
Upfront receipts.
0.000000
ISO Currency Code.
Australia Dollar
iv. Notional amount.
8100000.000000
ISO Currency Code.
AUD
v. Unrealized appreciation or depreciation. (24)
276098.670000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR -0.15000 03/18/20-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7FGKCPBK01

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
300170.130000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0421110

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00W8P4-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

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

ii. Termination or maturity date.
2030-03-18
iii. Upfront payments or receipts
Upfront payments.
151899.880000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
8300000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
148270.250000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.25000 03/16/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01B1Q4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
94401.750000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0132437

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01B1Q4-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

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

ii. Termination or maturity date.
2032-03-16
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-188152.680000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
9800000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
282554.430000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.25000 12/18/20-2Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU012NG2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
78097.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0109564

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2022-12-19
iii. Upfront payments or receipts
Upfront payments.
73407.970000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
150500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
4689.830000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2006-J
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1
d. CUSIP (if any).
05951EAM9
At least one of the following other identifiers:
- ISIN
US05951EAM93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
545927.130000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
527706.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0740321

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-01-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.41286
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.75000 06/16/21-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU017A26
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2682787.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3763694

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2031-06-16
iii. Upfront payments or receipts
Upfront payments.
3140153.350000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
38000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-457365.590000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.16000 04/12/21-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU017NM8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
102275.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0143482

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.160000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2031-04-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
2800000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
102275.240000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.25000 12/16/20-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZK5B26DXR10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
278978.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0391381

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.250000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-12-16
iii. Upfront payments or receipts
Upfront payments.
232957.460000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
2400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
46021.370000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.35000 01/20/22-5Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01D3O3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-9686.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0013590

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2027-01-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
8100000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-9686.790000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.38000 08/24/21-7Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01AF73
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13949.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0019570

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.380000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2028-08-24
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
32500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
13949.920000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.42000 08/17/21-7Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01AAU7
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-78932.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0110735

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.420000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2028-08-17
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
29500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-78932.660000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3192677.580000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4479020

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2052-02-01
iii. Upfront payments or receipts
Upfront payments.
1404795.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
187400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
1787882.580000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.75000 01/22/20-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7X43ZWMGT7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-47335.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0066407

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2050-01-24
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-48773.750000
ISO Currency Code.
United States Dollar
iv. Notional amount.
21100000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
1438.540000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.75000 12/15/21-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU0SU860
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-599901.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0841604

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2031-12-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-643337.240000
ISO Currency Code.
United States Dollar
iv. Notional amount.
40600000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
43435.700000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 55

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-669254.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0938900

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2050-02-07
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-85217.810000
ISO Currency Code.
United States Dollar
iv. Notional amount.
22000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-584037.150000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 56

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-85679.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0120201

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2050-01-18
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-10079.180000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-75600.610000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.25000 03/12/20-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZB1JDY3VVP8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-700194.340000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0982305

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.250000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-03-14
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-18081.180000
ISO Currency Code.
United States Dollar
iv. Notional amount.
6000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-682113.160000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 58

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.25000 06/15/16-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ2ZJC7XLG01

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1488674.490000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2088467

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.250000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2026-06-15
iii. Upfront payments or receipts
Upfront payments.
1267067.760000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
26800000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
221606.730000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 59

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2008-R3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2008 R3 3A3 144A
d. CUSIP (if any).
05954XAN2
At least one of the following other identifiers:
- ISIN
US05954XAN21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3569220.870000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3486709.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4891518

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.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 60

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.50000 12/20/17-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7XX80W4WW5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3707311.470000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5201002

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.500000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-12-20
iii. Upfront payments or receipts
Upfront payments.
332701.510000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
48400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
3374609.960000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.50000 12/20/17-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ2VT171RZC8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
46507.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0065246

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.500000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-12-20
iii. Upfront payments or receipts
Upfront payments.
10692.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
600000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
35815.590000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 62

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.75000 06/17/15-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU00B9H7
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10415456.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.4611886

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
2.750000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-06-17
iii. Upfront payments or receipts
Upfront payments.
9091555.040000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
149020000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
1323901.470000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.00000 06/19/19-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZVS57HRRGY8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9174607.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2871094

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2029-06-19
iii. Upfront payments or receipts
Upfront payments.
4674876.750000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
75000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
4499730.750000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 64

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
69940741.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
9.8120147

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2044-06-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-6573457.260000
ISO Currency Code.
United States Dollar
iv. Notional amount.
201500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
76514199.050000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 65

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OIS GBP SONIO/0.75000 03/16/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01B1U5
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
410720.090000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0576201

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2032-03-16
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
-102546.620000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
13300000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
513266.710000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 66

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OIS GBP SONIO/0.75000 03/16/22-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01B1V3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
20756.870000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0029120

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2052-03-18
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
-46085.790000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
3200000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
66842.660000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 67

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OIS GBP SONIO/0.75000 09/21/22-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01CD48
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
3849.000000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0005400

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2052-09-23
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
-9323.030000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
1400000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
13172.030000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 68

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2977425.170000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.4177042

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 69

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5847000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
6849122.320000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.9608661

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 70

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1428523.230000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2004081

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 71

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1778289.630000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2494770

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 72

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT GBP/SOLD USD
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
21JTKBB4G40
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-176136.360000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
-0.0247102

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1THE TORONTO-DOMINION BANKPT3QB789TSUIDF371261

i. Amount and description of currency sold.
Amount of currency sold.
35891204.100000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
26097000.000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-176136.360000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 73

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2102000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1883181.590000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2641923

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 74

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1541000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1629977.160000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2286701

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 75

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP/BOUGHT USD
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
21JTKBB4G7C
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
174831.500000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0245272

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1THE TORONTO-DOMINION BANKPT3QB789TSUIDF371261

i. Amount and description of currency sold.
Amount of currency sold.
26097000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
35890551.680000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-12-02
iv. Unrealized appreciation or depreciation. (24)
174831.500000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
d. CUSIP (if any).
ACI1R35P7
At least one of the following other identifiers:
- ISIN
XS2228919739

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
924799.900000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.1297405

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 77

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21HIKBB3DRJ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
637.520000
f. Exchange rate.
71.174900
g. Percentage value compared to net assets of the Fund.
0.0000894

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

i. Amount and description of currency sold.
Amount of currency sold.
12276.800000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
919176.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-11-22
iv. Unrealized appreciation or depreciation. (24)
637.520000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 78

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21JLKBB9LCP
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
80.470000
f. Exchange rate.
72.106900
g. Percentage value compared to net assets of the Fund.
0.0000113

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

i. Amount and description of currency sold.
Amount of currency sold.
11768.210000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
854372.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2022-01-24
iv. Unrealized appreciation or depreciation. (24)
80.470000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BANCO DE CREDITO DEL PERU
b. LEI (if any) of issuer. (1)
549300EQYQ8SCQZ4BY14
c. Title of the issue or description of the investment.
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
d. CUSIP (if any).
05971U2B2
At least one of the following other identifiers:
- ISIN
US05971U2B27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
196471.530000
f. Exchange rate.
3.990400
g. Percentage value compared to net assets of the Fund.
0.0275631

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

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

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 80

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
565698.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13575054.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9044499

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
WINDSTREAM HOLDINGS INC
Title of issue.
WINDSTREAM *BACKSTOP COMMITMENT*
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
EQTYDU9M6
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2055-09-21
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
8884850.140000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 81

Item C.1. Identification of investment.

a. Name of issuer (if any).
BARCLAYS PLC
b. LEI (if any) of issuer. (1)
213800LBQA1Y9L22JB70
c. Title of the issue or description of the investment.
BARCLAYS PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
06738EBA2
At least one of the following other identifiers:
- ISIN
US06738EBA29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1088550.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1527131

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.
2023-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1BARCLAYS PLCBARCLAYS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0031348658

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1467.29 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 82

Item C.1. Identification of investment.

a. Name of issuer (if any).
BARCLAYS PLC
b. LEI (if any) of issuer. (1)
213800LBQA1Y9L22JB70
c. Title of the issue or description of the investment.
BARCLAYS PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
06738EBG9
At least one of the following other identifiers:
- ISIN
US06738EBG98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
446250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0626046

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.
2024-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1BARCLAYS PLCBARCLAYS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0031348658

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1460.829 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 83

Item C.1. Identification of investment.

a. Name of issuer (if any).
BARCLAYS PLC
b. LEI (if any) of issuer. (1)
213800LBQA1Y9L22JB70
c. Title of the issue or description of the investment.
BARCLAYS PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
06738EBN4
At least one of the following other identifiers:
- ISIN
US06738EBN40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2115000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2325844.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3262936

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-12-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1BARCLAYS PLCBARCLAYS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0031348658

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1462.963 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 84

Item C.1. Identification of investment.

a. Name of issuer (if any).
BARCLAYS PLC
b. LEI (if any) of issuer. (1)
213800LBQA1Y9L22JB70
c. Title of the issue or description of the investment.
BARCLAYS PLC JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
ACI0G5LH6
At least one of the following other identifiers:
- ISIN
XS1274156097

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
415000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
597410.880000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0838110

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.
2022-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1BARCLAYS PLCBARCLAYS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0031348658

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1606.061 United Kingdom Pound

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 85

Item C.1. Identification of investment.

a. Name of issuer (if any).
BARCLAYS PLC
b. LEI (if any) of issuer. (1)
213800LBQA1Y9L22JB70
c. Title of the issue or description of the investment.
BARCLAYS PLC JR SUBORDINA VAR
d. CUSIP (if any).
ACI1CH093
At least one of the following other identifiers:
- ISIN
XS1998799792

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1817348.840000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.2549566

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1BARCLAYS PLCBARCLAYS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0031348658

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

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1606.061 United Kingdom Pound

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 86

Item C.1. Identification of investment.

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

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
549096.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1592378.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2233954

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 87

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC 2011-RR8 TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2011 RR8 2A4 144A
d. CUSIP (if any).
05536LAL9
At least one of the following other identifiers:
- ISIN
US05536LAL99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10708586.050000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9525164.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3362891

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.
2037-08-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.83127
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BCAP LLC 2013-RR5 TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2013 RR5 4A2 144A
d. CUSIP (if any).
05542MAP0
At least one of the following other identifiers:
- ISIN
US05542MAP05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3935985.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3983172.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5588008

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.5768
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BCAP LLC TRUST 2010-RR6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2010 RR6 1812 144A
d. CUSIP (if any).
05533CLD8
At least one of the following other identifiers:
- ISIN
US05533CLD82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2871355.730000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2554087.580000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3583140

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.
2036-11-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 90

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC TRUST 2010-RR9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2010 RR9 1A10 144A
d. CUSIP (if any).
05533GAK5
At least one of the following other identifiers:
- ISIN
US05533GAK58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3112100.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3121996.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4379862

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.
2037-08-28
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.05246
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BCAP LLC TRUST 2010-RR9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2010 RR9 5A10 144A
d. CUSIP (if any).
05533GCJ6
At least one of the following other identifiers:
- ISIN
US05533GCJ67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2073658.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1771485.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2485223

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-12-26
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BCAP LLC TRUST 2011-RR5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2011 RR5 12A2 144A
d. CUSIP (if any).
05534AAP6
At least one of the following other identifiers:
- ISIN
US05534AAP66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
681470.310000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1075063.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1508211

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.78972
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BCAP LLC TRUST 2011-RR5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2011 RR5 15A2 144A
d. CUSIP (if any).
05534AAS0
At least one of the following other identifiers:
- ISIN
US05534AAS06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
66891.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
51089.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0071674

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-06-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 94

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC TRUST 2011-RR5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2011 RR5 9A2 144A
d. CUSIP (if any).
05534AAM3
At least one of the following other identifiers:
- ISIN
US05534AAM36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
929934.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
389294.110000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0546142

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 95

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC TRUST 2011-RR6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC TRUST BCAP 2011 RR6 6A1 144A
d. CUSIP (if any).
05535YAG3
At least one of the following other identifiers:
- ISIN
US05535YAG35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5416305.690000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5090995.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7142178

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.12315
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ALT-A TRUST 2005-10
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1
d. CUSIP (if any).
07386HYW5
At least one of the following other identifiers:
- ISIN
US07386HYW59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
624912.510000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
764661.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1072746

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58925
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ALT-A TRUST 2005-7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1
d. CUSIP (if any).
07386HVV0
At least one of the following other identifiers:
- ISIN
US07386HVV04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
305749.970000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
226078.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0317167

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.
3.07282
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ALT-A TRUST 2005-9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1
d. CUSIP (if any).
07386HYF2
At least one of the following other identifiers:
- ISIN
US07386HYF27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4249852.580000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3439291.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4824996

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.69577
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ALT-A TRUST 2006-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1
d. CUSIP (if any).
073868BE0
At least one of the following other identifiers:
- ISIN
US073868BE01

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
328070.840000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
219099.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0307375

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.
2.99288
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ALT-A TRUST II 2007-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1
d. CUSIP (if any).
07389KAA9
At least one of the following other identifiers:
- ISIN
US07389KAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4309698.050000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2857800.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4009219

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.09836
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AQ1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ASSET BACKED SECU BSABS 2006 AQ1 12A
d. CUSIP (if any).
07389PAD2
At least one of the following other identifiers:
- ISIN
US07389PAD24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2652984.970000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3558505.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4992242

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.
2036-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.22925
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 1A3A
d. CUSIP (if any).
07389QAE8
At least one of the following other identifiers:
- ISIN
US07389QAE89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
336963.410000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
223480.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0313522

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.
2036-10-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 103

Item C.1. Identification of investment.

a. Name of issuer (if any).
BELLE HAVEN ABS CDO LTD 2006-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A
d. CUSIP (if any).
078452AA7
At least one of the following other identifiers:
- ISIN
US078452AA72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
180259327.050000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
457858.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0642332

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.38313
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOEING CO/THE
b. LEI (if any) of issuer. (1)
RVHJWBXLJ1RFUBSY1F30
c. Title of the issue or description of the investment.
BOEING CO SR UNSECURED 02/33 6.125
d. CUSIP (if any).
097023AU9
At least one of the following other identifiers:
- ISIN
US097023AU94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1755000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2226666.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3123799

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 105

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOEING CO/THE
b. LEI (if any) of issuer. (1)
RVHJWBXLJ1RFUBSY1F30
c. Title of the issue or description of the investment.
BOEING CO SR UNSECURED 05/40 5.705
d. CUSIP (if any).
097023CV5
At least one of the following other identifiers:
- ISIN
US097023CV59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
860000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1105583.130000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1551027

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.
5.705
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOEING CO/THE
b. LEI (if any) of issuer. (1)
RVHJWBXLJ1RFUBSY1F30
c. Title of the issue or description of the investment.
BOEING CO SR UNSECURED 05/50 5.805
d. CUSIP (if any).
097023CW3
At least one of the following other identifiers:
- ISIN
US097023CW33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1116000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1532047.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2149316

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.
5.805
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOEING CO/THE
b. LEI (if any) of issuer. (1)
RVHJWBXLJ1RFUBSY1F30
c. Title of the issue or description of the investment.
BOEING CO SR UNSECURED 05/60 5.93
d. CUSIP (if any).
097023CX1
At least one of the following other identifiers:
- ISIN
US097023CX16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1036000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1460083.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2048357

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.
2060-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.93
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOMBARDIER INC
b. LEI (if any) of issuer. (1)
W7L3VLU8EHQY34Z36697
c. Title of the issue or description of the investment.
BOMBARDIER INC SR UNSECURED 144A 03/25 7.5
d. CUSIP (if any).
097751BM2
At least one of the following other identifiers:
- ISIN
US097751BM26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7913752.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1102234

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.
2025-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 109

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOMBARDIER INC
b. LEI (if any) of issuer. (1)
W7L3VLU8EHQY34Z36697
c. Title of the issue or description of the investment.
BOMBARDIER INC SR UNSECURED 144A 04/27 7.875
d. CUSIP (if any).
097751BT7
At least one of the following other identifiers:
- ISIN
US097751BT78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2803000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2917712.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4093271

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.
2027-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOMBARDIER INC
b. LEI (if any) of issuer. (1)
W7L3VLU8EHQY34Z36697
c. Title of the issue or description of the investment.
BOMBARDIER INC SR UNSECURED 144A 06/26 7.125
d. CUSIP (if any).
097751BV2
At least one of the following other identifiers:
- ISIN
US097751BV25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1851000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1943550.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2726614

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.
2026-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BOMBARDIER INC
b. LEI (if any) of issuer. (1)
W7L3VLU8EHQY34Z36697
c. Title of the issue or description of the investment.
BOMBARDIER INC SR UNSECURED 144A 12/24 7.5
d. CUSIP (if any).
097751BR1
At least one of the following other identifiers:
- ISIN
US097751BR13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3302000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3442335.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4829266

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.
2024-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 112

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 COMPANY GUAR 11/30 4.15
d. CUSIP (if any).
11135FAQ4
At least one of the following other identifiers:
- ISIN
US11135FAQ46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
586000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
644618.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0904338

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.
2030-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.15
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 113

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 COMPANY GUAR 144A 02/41 3.5
d. CUSIP (if any).
11135FBJ9
At least one of the following other identifiers:
- ISIN
US11135FBJ93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2682931.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3763896

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.
2041-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BROADCOM INC
b. LEI (if any) of issuer. (1)
549300WV6GIDOZJTV909
c. Title of the issue or description of the investment.
BROADCOM INC COMPANY GUAR 144A 02/51 3.75
d. CUSIP (if any).
11135FBG5
At least one of the following other identifiers:
- ISIN
US11135FBG54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1138748.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1597555

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.
2051-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BROADCOM INC
b. LEI (if any) of issuer. (1)
549300WV6GIDOZJTV909
c. Title of the issue or description of the investment.
BROADCOM INC SR UNSECURED 144A 11/36 3.187
d. CUSIP (if any).
11135FBQ3
At least one of the following other identifiers:
- ISIN
US11135FBQ37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
46000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
45271.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0063512

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.
2036-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.187
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC)
b. LEI (if any) of issuer. (1)
549300V3UCT773B1KR38
c. Title of the issue or description of the investment.
CAESARS RESORT COLLECTION LLC TERM B LOANS
d. CUSIP (if any).
12769LAB5
At least one of the following other identifiers:
- ISIN
US12769LAB53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11550273.750000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11508762.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6145688

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-12-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.8341
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CARNIVAL CORPORATION
b. LEI (if any) of issuer. (1)
F1OF2ZSX47CR0BCWA982
c. Title of the issue or description of the investment.
CARNIVAL CORPORATION 2021 INCREMENTAL TLB
d. CUSIP (if any).
941VXWII0
At least one of the following other identifiers:
- ISIN
XAP2121YAS71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1118000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1118174.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1568691

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PANAMA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-10-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 118

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARNIVAL CORPORATION
b. LEI (if any) of issuer. (1)
F1OF2ZSX47CR0BCWA982
c. Title of the issue or description of the investment.
CARNIVAL CORPORATION EUR TERM LOAN B
d. CUSIP (if any).
P2121YAP3
At least one of the following other identifiers:
- ISIN
XAP2121YAP33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2294192.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2650942.600000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.3719018

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PANAMA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CENGAGE LEARNING INC
b. LEI (if any) of issuer. (1)
549300BYGM0FWUSVXJ88
c. Title of the issue or description of the investment.
CENGAGE LEARNING INC 2021 TERM LOAN B
d. CUSIP (if any).
15134NAF3
At least one of the following other identifiers:
- ISIN
US15134NAF33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5680000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5720066.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8024705

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 120

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED 144A 04/27 7.75
d. CUSIP (if any).
ACI1WM066
At least one of the following other identifiers:
- ISIN
XS2324372510

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
3001542.100000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.4210875

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 121

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED 144A 04/27 8.75
d. CUSIP (if any).
12531TAF6
At least one of the following other identifiers:
- ISIN
US12531TAF66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3656000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3605437.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5058083

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 122

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHARTER COMM OPT LLC/CAP SR SECURED 04/51 3.7
d. CUSIP (if any).
161175BV5
At least one of the following other identifiers:
- ISIN
US161175BV50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
196696.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0275947

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.
2051-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 123

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHARTER COMM OPT LLC/CAP SR SECURED 04/61 3.85
d. CUSIP (if any).
161175BY9
At least one of the following other identifiers:
- ISIN
US161175BY99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
387410.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0543500

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.
2061-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.85
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHARTER COMM OPT LLC/CAP SR SECURED 06/52 3.9
d. CUSIP (if any).
161175CA0
At least one of the following other identifiers:
- ISIN
US161175CA05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5978597.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8387399

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.
2052-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 125

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHARTER COMM OPT LLC/CAP SR SECURED 12/61 4.4
d. CUSIP (if any).
161175CC6
At least one of the following other identifiers:
- ISIN
US161175CC60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5529482.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7757333

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.
2061-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 126

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHASE MORGAGE FINANCE CORP 2005-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2
d. CUSIP (if any).
16162WPE3
At least one of the following other identifiers:
- ISIN
US16162WPE39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4349.580000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4380.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0006145

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.04861
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHASE MORTGAGE FINANCE CORP 2006-S1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A2
d. CUSIP (if any).
16162WQY8
At least one of the following other identifiers:
- ISIN
US16162WQY83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6164.220000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4941.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0006932

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 128

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHS/COMMUNITY HEALTH SYSTEMS INC
b. LEI (if any) of issuer. (1)
5493007X5NC5XI1BB106
c. Title of the issue or description of the investment.
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 02/25 6.625
d. CUSIP (if any).
12543DBF6
At least one of the following other identifiers:
- ISIN
US12543DBF69

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4788000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4985505.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6994185

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.
2025-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CHS/COMMUNITY HEALTH SYSTEMS INC
b. LEI (if any) of issuer. (1)
5493007X5NC5XI1BB106
c. Title of the issue or description of the investment.
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8
d. CUSIP (if any).
12543DBC3
At least one of the following other identifiers:
- ISIN
US12543DBC39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
494000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
521787.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0732018

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 130

Item C.1. Identification of investment.

a. Name of issuer (if any).
CIFC FUNDING LTD 2014-2RA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CIFC FUNDING LTD CIFC 2014 2RA INC 144A
d. CUSIP (if any).
125475AA1
At least one of the following other identifiers:
- ISIN
US125475AA17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
975115.490000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1367993

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-04-24
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 131

Item C.1. Identification of investment.

a. Name of issuer (if any).
CIFC FUNDING LTD 2014-3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CIFC FUNDING LTD CIFC 2014 3A INC 144A
d. CUSIP (if any).
12549TAA7
At least one of the following other identifiers:
- ISIN
US12549TAA79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
553451.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0776439

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 132

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITICORP MORTGAGE SECURITIES 2007-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITICORP MORTGAGE SECURITIES, CMSI 2007 3 3A1
d. CUSIP (if any).
17312FAR4
At least one of the following other identifiers:
- ISIN
US17312FAR47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9718.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10261.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0014396

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 133

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITICORP MORTGAGE SECURITIES 2007-8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITICORP MORTGAGE SECURITIES, CMSI 2007 8 1A1
d. CUSIP (if any).
17312DAA6
At least one of the following other identifiers:
- ISIN
US17312DAA63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
448885.080000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
459248.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0644281

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
FARM CREDIT BANK OF TEXAS
b. LEI (if any) of issuer. (1)
V1EBJIOLRNYDHDF63Z33
c. Title of the issue or description of the investment.
FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR
d. CUSIP (if any).
30767EAD1
At least one of the following other identifiers:
- ISIN
US30767EAD13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1095000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1536180

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
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.

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: 135

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MTGE LOAN TR INC 2007-AMC1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A
d. CUSIP (if any).
17311BAS2
At least one of the following other identifiers:
- ISIN
US17311BAS25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1528040.400000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1031601.470000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1447238

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.24925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CITIGROUP MTGE LOAN TR INC 2007-AMC1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B
d. CUSIP (if any).
17311BAB9
At least one of the following other identifiers:
- ISIN
US17311BAB99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12464009.660000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6420880.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9007879

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.23925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
d. CUSIP (if any).
14986DAJ9
At least one of the following other identifiers:
- ISIN
US14986DAJ90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
103464.360000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
101303.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0142119

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.688
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 138

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITY OF CHICAGO
b. LEI (if any) of issuer. (1)
T5UYO5SYLC8K73MJQX30
c. Title of the issue or description of the investment.
CHICAGO IL CHI 01/42 FIXED 7.75
d. CUSIP (if any).
167486D22
At least one of the following other identifiers:
- ISIN
US167486D225

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
56000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
63696.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0089359

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 139

Item C.1. Identification of investment.

a. Name of issuer (if any).
CLEAR CHANNEL OUTDOOR HOLDINGS INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CLEAR CHANNEL OUTDOOR HLDNGS I TERM LOAN B
d. CUSIP (if any).
18452RAD7
At least one of the following other identifiers:
- ISIN
US18452RAD70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3789224.640000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3733807.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5238173

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-08-21
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.6286
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
d. CUSIP (if any).
20173WAH1
At least one of the following other identifiers:
- ISIN
US20173WAH16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1447335.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
673010.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0944170

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.97155
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
GENERAL ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
3C7474T6CDKPR9K6YT90
c. Title of the issue or description of the investment.
GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR
d. CUSIP (if any).
369604BQ5
At least one of the following other identifiers:
- ISIN
US369604BQ57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
268000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
261914.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0367441

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 142

Item C.1. Identification of investment.

a. Name of issuer (if any).
CORK STREET CLO DESIGNATED ACTIVITY CO 1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A
d. CUSIP (if any).
ACI0QPJC5
At least one of the following other identifiers:
- ISIN
XS1319592900

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2366444.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2201256.090000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.3088151

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-11-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 143

Item C.1. Identification of investment.

a. Name of issuer (if any).
COSAINT RE PTE LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COSAINT RE PTE LTD BONDS 144A 04/28 VAR
d. CUSIP (if any).
22112CAA0
At least one of the following other identifiers:
- ISIN
US22112CAA09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
940140.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1318926

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SINGAPORE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-03
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.285
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COTY INC
b. LEI (if any) of issuer. (1)
549300BO9IWPF3S48F93
c. Title of the issue or description of the investment.
COTY INC SR SECURED 144A 04/26 3.875
d. CUSIP (if any).
ACI1YJLH4
At least one of the following other identifiers:
- ISIN
XS2354326683

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
7901961.960000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
1.1085694

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.
2026-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 145

Item C.1. Identification of investment.

a. Name of issuer (if any).
COTY INC
b. LEI (if any) of issuer. (1)
549300BO9IWPF3S48F93
c. Title of the issue or description of the investment.
COTY INC SR SECURED 144A 04/26 5
d. CUSIP (if any).
222070AE4
At least one of the following other identifiers:
- ISIN
US222070AE41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5131250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7198651

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.
2026-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 146

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALT LN TRUST 2005-1CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A2
d. CUSIP (if any).
12667F2R5
At least one of the following other identifiers:
- ISIN
US12667F2R58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
211770.690000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
129874.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0182201

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.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COUNTRYWIDE ALT LOAN TRUST 2004-35T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 35T2 A5
d. CUSIP (if any).
12667FQ99
At least one of the following other identifiers:
- ISIN
US12667FQ999

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
290602.140000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
280335.490000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0393284

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.
2035-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 148

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALT LOAN TRUST 2006-36T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A3
d. CUSIP (if any).
02146XAB4
At least one of the following other identifiers:
- ISIN
US02146XAB47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
652571.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
410369.260000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0575709

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 149

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALT LOAN TRUST 2006-36T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7
d. CUSIP (if any).
02146XAF5
At least one of the following other identifiers:
- ISIN
US02146XAF50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
474725.650000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
316647.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0444226

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 150

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2004-28CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 28CB 5A1
d. CUSIP (if any).
12667FYU3
At least one of the following other identifiers:
- ISIN
US12667FYU38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
170887.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
176321.110000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0247362

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.
2035-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COUNTRYWIDE ALTERNATIVE LN TR 2004-30CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 30CB 2A4
d. CUSIP (if any).
12667FJ55
At least one of the following other identifiers:
- ISIN
US12667FJ556

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
229062.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
210643.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0295512

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.
2035-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 79CB A3
d. CUSIP (if any).
12668BAC7
At least one of the following other identifiers:
- ISIN
US12668BAC72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
335360.400000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
269288.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0377785

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 153

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-22R
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1
d. CUSIP (if any).
02147LAA1
At least one of the following other identifiers:
- ISIN
US02147LAA17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1697512.620000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1345728.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1887928

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 154

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A2
d. CUSIP (if any).
02146VAB8
At least one of the following other identifiers:
- ISIN
US02146VAB80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
525999.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
477506.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0669895

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)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 155

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4
d. CUSIP (if any).
12668BMX8
At least one of the following other identifiers:
- ISIN
US12668BMX81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
394809.340000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
256111.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0359300

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 156

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9
d. CUSIP (if any).
02149VAJ8
At least one of the following other identifiers:
- ISIN
US02149VAJ89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
808045.390000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
519954.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0729447

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 157

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A13
d. CUSIP (if any).
02147BAN5
At least one of the following other identifiers:
- ISIN
US02147BAN55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
511895.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
315421.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0442506

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 158

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2008-2R
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 5A1
d. CUSIP (if any).
021482AJ3
At least one of the following other identifiers:
- ISIN
US021482AJ36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
836702.100000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
632428.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0887236

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.
2037-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY3 3A1
d. CUSIP (if any).
12668BNK5
At least one of the following other identifiers:
- ISIN
US12668BNK51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
478184.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
437415.580000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0613652

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.73574
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A3
d. CUSIP (if any).
02147RAQ3
At least one of the following other identifiers:
- ISIN
US02147RAQ39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
384035.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
200693.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0281554

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 161

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9
d. CUSIP (if any).
17025QAJ6
At least one of the following other identifiers:
- ISIN
US17025QAJ67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1220127.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
775495.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1087946

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 162

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2005-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2005 1 2A1
d. CUSIP (if any).
12669GRQ6
At least one of the following other identifiers:
- ISIN
US12669GRQ63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2515267.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2235891.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3136741

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.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.66925
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
COUNTRYWIDE HOME LOANS 2006-J4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2006 J4 A3
d. CUSIP (if any).
12669YAC6
At least one of the following other identifiers:
- ISIN
US12669YAC66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
356650.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
203293.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0285201

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 164

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT AGRICOLE SA
b. LEI (if any) of issuer. (1)
969500TJ5KRTCJQWXH05
c. Title of the issue or description of the investment.
CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
F22797RT7
At least one of the following other identifiers:
- ISIN
USF22797RT78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
332467.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0466420

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-01-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 165

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR
d. CUSIP (if any).
22546DAB2
At least one of the following other identifiers:
- ISIN
US22546DAB29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5780000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6314650.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8858848

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-12-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 166

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
d. CUSIP (if any).
225401AJ7
At least one of the following other identifiers:
- ISIN
US225401AJ72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
213100.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0298959

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-07-17
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 167

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
ACI07D348
At least one of the following other identifiers:
- ISIN
XS0989394589

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1463000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1598327.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2242300

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-12-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 168

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE MORTGAGE CAPITAL CERT 2006
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 2A11
d. CUSIP (if any).
225470P23
At least one of the following other identifiers:
- ISIN
US225470P231

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
107888.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
75830.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0106383

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 169

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-2R
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CREDIT SUISSE MORTGAGE TRUST CSMC 2010 2R 2A16 144A
d. CUSIP (if any).
12643GBA9
At least one of the following other identifiers:
- ISIN
US12643GBA94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6955275.860000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5652971.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7930576

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)
Variable
ii. Annualized rate.
2.76704
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
CS FIRST BOSTON MTGE SEC CORP 2005-10
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 8A3
d. CUSIP (if any).
225470FG3
At least one of the following other identifiers:
- ISIN
US225470FG35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
269581.100000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
254091.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0356465

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 171

Item C.1. Identification of investment.

a. Name of issuer (if any).
CVS PASS-THROUGH TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507
d. CUSIP (if any).
126650BS8
At least one of the following other identifiers:
- ISIN
US126650BS86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
745579.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
930501.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1305405

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.
2032-01-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.507
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
IHEARTMEDIA INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IHEARTMEDIA INC CLASS A COMMON STOCK
d. CUSIP (if any).
45174J509
At least one of the following other identifiers:
- ISIN
US45174J5092

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
129909.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2517636.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3532002

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 173

Item C.1. Identification of investment.

a. Name of issuer (if any).
IHEARTMEDIA INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IHEARTMEDIA INC CLASS B COMMON STOCK
d. CUSIP (if any).
45174J608
At least one of the following other identifiers:
- ISIN
US45174J6082

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100822.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1758537.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2467059

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 174

Item C.1. Identification of investment.

a. Name of issuer (if any).
DELTA AIR LINES INC
b. LEI (if any) of issuer. (1)
Q2CCMS6R0AS67HJMBN42
c. Title of the issue or description of the investment.
DELTA AIR LINES INC SR UNSECURED 01/26 7.375
d. CUSIP (if any).
247361ZZ4
At least one of the following other identifiers:
- ISIN
US247361ZZ42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
508000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
597636.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0838426

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.
2026-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 175

Item C.1. Identification of investment.

a. Name of issuer (if any).
DELUXE CORPORATION
b. LEI (if any) of issuer. (1)
KWGNKB8TX9LE5TV29231
c. Title of the issue or description of the investment.
DELUXE CORP COMPANY GUAR 144A 06/29 8
d. CUSIP (if any).
248019AU5
At least one of the following other identifiers:
- ISIN
US248019AU57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5510000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5808504.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8148774

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 176

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISH NETWORK CORPORATION
b. LEI (if any) of issuer. (1)
529900U350CWHH15G169
c. Title of the issue or description of the investment.
DISH NETWORK CORP SR UNSECURED 08/26 3.375
d. CUSIP (if any).
25470MAB5
At least one of the following other identifiers:
- ISIN
US25470MAB54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3472543.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4871645

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☒ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1DISH NETWORK CORPORATIONDISH NETWORK CORP-A United States Dollar
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) US25470M1099

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#115.3429 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 177

Item C.1. Identification of investment.

a. Name of issuer (if any).
DTEK FINANCE PLC
b. LEI (if any) of issuer. (1)
549300VBCR9V58ZYQ356
c. Title of the issue or description of the investment.
DTEK FINANCE PLC COMPANY GUAR REGS 12/27 5
d. CUSIP (if any).
ACI1XVP76
At least one of the following other identifiers:
- ISIN
XS2342930521

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4208751.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2588381.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3631251

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.
2027-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 178

Item C.1. Identification of investment.

a. Name of issuer (if any).
EGYPTIAN GOVT
b. LEI (if any) of issuer. (1)
529900GFIVH4086NMH82
c. Title of the issue or description of the investment.
ARAB REPUBLIC OF EGYPT SR UNSECURED 144A 02/61 7.5
d. CUSIP (if any).
03846JAC4
At least one of the following other identifiers:
- ISIN
US03846JAC45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1616501.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2267796

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)
EGYPT
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2061-02-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 179

Item C.1. Identification of investment.

a. Name of issuer (if any).
EGYPTIAN GOVT
b. LEI (if any) of issuer. (1)
529900GFIVH4086NMH82
c. Title of the issue or description of the investment.
ARAB REPUBLIC OF EGYPT SR UNSECURED REGS 04/30 5.625
d. CUSIP (if any).
ACI120PQ6
At least one of the following other identifiers:
- ISIN
XS1807305328

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1921326.860000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2695437

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)
EGYPT
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-04-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 180

Item C.1. Identification of investment.

a. Name of issuer (if any).
EGYPTIAN GOVT
b. LEI (if any) of issuer. (1)
529900GFIVH4086NMH82
c. Title of the issue or description of the investment.
ARAB REPUBLIC OF EGYPT SR UNSECURED REGS 04/31 6.375
d. CUSIP (if any).
ACI1B3V91
At least one of the following other identifiers:
- ISIN
XS1980255936

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
758000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
828570.550000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.1162405

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)
EGYPT
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-04-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 181

Item C.1. Identification of investment.

a. Name of issuer (if any).
ENVISION HEALTHCARE CORPORATION
b. LEI (if any) of issuer. (1)
549300OL60X0LPKY8N60
c. Title of the issue or description of the investment.
ENTERPRISE MERGER SUB INC INITIAL TERM LOANS
d. CUSIP (if any).
29373UAC5
At least one of the following other identifiers:
- ISIN
US29373UAC53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23514210.340000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
19516794.580000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.7380189

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-10-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.837
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 182

Item C.1. Identification of investment.

a. Name of issuer (if any).
ENVISION HEALTHCARE CORPORATION
b. LEI (if any) of issuer. (1)
549300OL60X0LPKY8N60
c. Title of the issue or description of the investment.
ENVISION HEALTHCARE CORP COMPANY GUAR 144A 10/26 8.75
d. CUSIP (if any).
29373TAA2
At least one of the following other identifiers:
- ISIN
US29373TAA25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4556000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3067942.060000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4304028

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.
2026-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 183

Item C.1. Identification of investment.

a. Name of issuer (if any).
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EXELA INTERMED/EXELA FIN SR SECURED 144A 07/23 10
d. CUSIP (if any).
30162RAA9
At least one of the following other identifiers:
- ISIN
US30162RAA95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
120000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
100608.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0141143

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.
2023-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 184

Item C.1. Identification of investment.

a. Name of issuer (if any).
EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)
b. LEI (if any) of issuer. (1)
789000JVRVYLAXGDWR11
c. Title of the issue or description of the investment.
TURK IHRACAT KR BK SR UNSECURED 144A 01/24 8.25
d. CUSIP (if any).
90015LAF4
At least one of the following other identifiers:
- ISIN
US90015LAF40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
212960.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0298762

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)
TURKEY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-01-24
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 185

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2009-106
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2009 106 SN
d. CUSIP (if any).
31398GUS6
At least one of the following other identifiers:
- ISIN
US31398GUS64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
181979.390000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
29261.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0041051

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.
2040-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.16075
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 186

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2012-102
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2012 102 HI
d. CUSIP (if any).
3136A8SR2
At least one of the following other identifiers:
- ISIN
US3136A8SR21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
422553.640000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
38451.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0053944

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 187

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2012-138
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2012 138 QI
d. CUSIP (if any).
3136AAEQ4
At least one of the following other identifiers:
- ISIN
US3136AAEQ45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1193043.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
168918.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0236976

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 188

Item C.1. Identification of investment.

a. Name of issuer (if any).
FERROGLOBE FINANCE COMPANY PLC / GLOBE SPECIALTY METALS INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FERROGLOBE / GLOBE SPEC SR SECURED 12/25 9.375
d. CUSIP (if any).
ACI1ZL3W5
At least one of the following other identifiers:
- ISIN
XS2360592609

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1757375.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2465428

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 189

Item C.1. Identification of investment.

a. Name of issuer (if any).
FIRST HORIZON MTGE PASS-THRU TR 2005-AR5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 1A1
d. CUSIP (if any).
32051GXN0
At least one of the following other identifiers:
- ISIN
US32051GXN05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
166944.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
163073.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0228776

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.625
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 190

Item C.1. Identification of investment.

a. Name of issuer (if any).
FIRST HORIZON MTGE PT TR 2007-AR1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1
d. CUSIP (if any).
32053EAA6
At least one of the following other identifiers:
- ISIN
US32053EAA64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
150250.770000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
87233.810000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0122381

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.81608
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 191

Item C.1. Identification of investment.

a. Name of issuer (if any).
FIRST QUANTUM MINERALS LTD
b. LEI (if any) of issuer. (1)
549300I7UVBGWRYMYZ18
c. Title of the issue or description of the investment.
FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/24 6.5
d. CUSIP (if any).
335934AP0
At least one of the following other identifiers:
- ISIN
US335934AP02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1252000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1272345.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1784978

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.
2024-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 192

Item C.1. Identification of investment.

a. Name of issuer (if any).
FIRST QUANTUM MINERALS LTD
b. LEI (if any) of issuer. (1)
549300I7UVBGWRYMYZ18
c. Title of the issue or description of the investment.
FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/26 6.875
d. CUSIP (if any).
335934AR6
At least one of the following other identifiers:
- ISIN
US335934AR67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1042500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1462527

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.
2026-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 193

Item C.1. Identification of investment.

a. Name of issuer (if any).
FLAGSHIP CREDIT AUTO TRUST 2018-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FLAGSHIP CREDIT AUTO TRUST FCAT 2018 1 R 144A
d. CUSIP (if any).
33844M102
At least one of the following other identifiers:
- ISIN
US33844M1027

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
660448.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0926546

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.
2025-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 194

Item C.1. Identification of investment.

a. Name of issuer (if any).
FLY LEASING (FLY WILLOW FUNDING LTD)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FLY FUNDING II SARL 2020 TERM LOAN B
d. CUSIP (if any).
G3643LAB9
At least one of the following other identifiers:
- ISIN
XAG3643LAB99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5130000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5149237.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7223886

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-10-08
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 195

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATIONWIDE BUILDING SOCIETY
b. LEI (if any) of issuer. (1)
549300XFX12G42QIKN82
c. Title of the issue or description of the investment.
NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
d. CUSIP (if any).
ACI07BWB4
At least one of the following other identifiers:
- ISIN
GB00BBQ33664

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
35500.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
9473112.080000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
1.3289867

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED 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.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 196

Item C.1. Identification of investment.

a. Name of issuer (if any).
NMG PARENT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NEIMAN MARCUS USD COMMON STOCK EQUITY
d. CUSIP (if any).
967DUC905
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY0NMG4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
82915.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9257459.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2987327

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 197

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NOBLE CORP COMMON STOCK USD.00001
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
KYG6610J2093

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21190.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
533140.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0747945

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 198

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE CORP COMMON STOCK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US65500J1060

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1598.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
40205.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0056405

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 199

Item C.1. Identification of investment.

a. Name of issuer (if any).
ASSOCIATED MATERIALS (NEW AMI I LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ASSOCIATED MATERIALS GROUP INC
d. CUSIP (if any).
931WQR908
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
04570X9C5
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
116123.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
818667.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1148511

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 200

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORBES ENERGY SERVICES LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN
d. CUSIP (if any).
962XCSII2
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL2335778
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
386170.080000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
38.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000054

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.2961
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 201

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORD MOTOR COMPANY
b. LEI (if any) of issuer. (1)
20S05OYHG0MQM4VUIC57
c. Title of the issue or description of the investment.
FORD MOTOR COMPANY SR UNSECURED 05/97 7.7
d. CUSIP (if any).
345370BS8
At least one of the following other identifiers:
- ISIN
US345370BS81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9770000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12778427.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.7926907

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2097-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 202

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC
b. LEI (if any) of issuer. (1)
529900E7PUVK6BC8PE80
c. Title of the issue or description of the investment.
FORTRESS TRANS + INFRAST SR UNSECURED 144A 10/25 6.5
d. CUSIP (if any).
34960PAB7
At least one of the following other identifiers:
- ISIN
US34960PAB76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
377000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
388423.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0544920

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.
2025-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 203

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 D1 144A
d. CUSIP (if any).
35563CAH1
At least one of the following other identifiers:
- ISIN
US35563CAH16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8308697.570000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5129789.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7196603

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.14461
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 204

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A
d. CUSIP (if any).
35563CAB4
At least one of the following other identifiers:
- ISIN
US35563CAB46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34261707.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2691836.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3776388

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 205

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC REMICS 4204
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 4204 YI
d. CUSIP (if any).
3137B1ZZ8
At least one of the following other identifiers:
- ISIN
US3137B1ZZ82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1063536.660000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
91050.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0127735

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 206

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC REMICS 4246
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 4246 NS
d. CUSIP (if any).
3137B4PM2
At least one of the following other identifiers:
- ISIN
US3137B4PM29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
776223.110000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
973341.010000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1365504

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.
2035-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.7697
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 207

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC STRIPS 304
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIEMAC STRIP FHS 304 C52
d. CUSIP (if any).
31325UP91
At least one of the following other identifiers:
- ISIN
US31325UP919

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1541977.940000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
180916.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0253809

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.
2032-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 208

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC STACR STACR 2015 DNA2 B
d. CUSIP (if any).
3137G0FZ7
At least one of the following other identifiers:
- ISIN
US3137G0FZ78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2867458.940000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3100072.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4349104

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.
2027-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.63925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 209

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-HQ1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC STACR STACR 2015 HQ1 B
d. CUSIP (if any).
3137G0EM7
At least one of the following other identifiers:
- ISIN
US3137G0EM74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
473332.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
488092.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0684746

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.
2025-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.8393
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 210

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREMF MORTGAGE TRUST 2014-K715
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREMF MORTGAGE TRUST FREMF 2014 K715 D 144A
d. CUSIP (if any).
30291XAJ1
At least one of the following other identifiers:
- ISIN
US30291XAJ19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2187207.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1837253.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2577491

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.
2046-02-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 211

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREMF MORTGAGE TRUST 2014-K715
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREMF MORTGAGE TRUST FREMF 2014 K715 X2B 144A
d. CUSIP (if any).
30291XAC6
At least one of the following other identifiers:
- ISIN
US30291XAC65

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2187630.730000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
513.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000720

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.
2046-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.1
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 212

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREMONT HOME LOAN TRUST 2006-E
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREMONT HOME LOAN TRUST FHLT 2006 E 2A3
d. CUSIP (if any).
35729NAD7
At least one of the following other identifiers:
- ISIN
US35729NAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12507822.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7225266.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0136355

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.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.23925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 213

Item C.1. Identification of investment.

a. Name of issuer (if any).
FRESH MARKET INC/THE
b. LEI (if any) of issuer. (1)
529900QM5ZSBEBR6CS58
c. Title of the issue or description of the investment.
FRESH MARKET INC SR SECURED 144A 05/23 9.75
d. CUSIP (if any).
35804HAA4
At least one of the following other identifiers:
- ISIN
US35804HAA41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7590000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7808212.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0954173

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.
2023-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 214

Item C.1. Identification of investment.

a. Name of issuer (if any).
FRONTIER COMMUNICATIONS HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FRONTIER COMMUNICATIONS CORP 2021 DIP TERM LOAN B
d. CUSIP (if any).
35906EAQ3
At least one of the following other identifiers:
- ISIN
US35906EAQ35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5462945.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5467042.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7669735

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-05-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 215

Item C.1. Identification of investment.

a. Name of issuer (if any).
FRONTIER COMMUNICATIONS HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FRONTIER COMMUNICATIONS SECURED 144A 01/30 6
d. CUSIP (if any).
35908MAB6
At least one of the following other identifiers:
- ISIN
US35908MAB63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1745000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1755435.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2462707

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 216

Item C.1. Identification of investment.

a. Name of issuer (if any).
FRONTIER FINANCE PLC
b. LEI (if any) of issuer. (1)
213800XVLIFOCEEVIS52
c. Title of the issue or description of the investment.
FRONTIER FINANCE PLC COMPANY GUAR 144A 03/22 8
d. CUSIP (if any).
ACI0T8JS5
At least one of the following other identifiers:
- ISIN
XS1581283493

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
862500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1202990.970000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.1687681

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.
2022-03-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 217

Item C.1. Identification of investment.

a. Name of issuer (if any).
GANNETT HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GANNETT HOLDINGS LLC SR SECURED 144A 11/26 6
d. CUSIP (if any).
36474GAA3
At least one of the following other identifiers:
- ISIN
US36474GAA31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
400100.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0561302

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 218

Item C.1. Identification of investment.

a. Name of issuer (if any).
GATEWAY CASINOS & ENTERTAINMENT LIMITED
b. LEI (if any) of issuer. (1)
549300JSKBQMMD1B3U44
c. Title of the issue or description of the investment.
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
d. CUSIP (if any).
943ZHKII3
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL3649B8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1489868.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
1203837.090000
f. Exchange rate.
1.237600
g. Percentage value compared to net assets of the Fund.
0.1688868

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.46
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 219

Item C.1. Identification of investment.

a. Name of issuer (if any).
GATEWAY CASINOS & ENTERTAINMENT LIMITED
b. LEI (if any) of issuer. (1)
549300JSKBQMMD1B3U44
c. Title of the issue or description of the investment.
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
d. CUSIP (if any).
943ZERII1
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL3649A0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14862900.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14557853.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.0423271

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.1359
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 220

Item C.1. Identification of investment.

a. Name of issuer (if any).
GENERAL ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
3C7474T6CDKPR9K6YT90
c. Title of the issue or description of the investment.
GENERAL ELECTRIC CO SR UNSECURED 01/39 6.875
d. CUSIP (if any).
36962G4B7
At least one of the following other identifiers:
- ISIN
US36962G4B75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3047.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0004275

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-01-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 221

Item C.1. Identification of investment.

a. Name of issuer (if any).
GENESIS ENERGY LP / GENESIS ENERGY FINANCE CORP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GENESIS ENERGY LP/FIN COMPANY GUAR 01/27 8
d. CUSIP (if any).
37185LAM4
At least one of the following other identifiers:
- ISIN
US37185LAM46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1937000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1949144.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2734463

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.
2027-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 222

Item C.1. Identification of investment.

a. Name of issuer (if any).
GHANA GOVT
b. LEI (if any) of issuer. (1)
213800PP4399SNNXZ126
c. Title of the issue or description of the investment.
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
d. CUSIP (if any).
37443GAG6
At least one of the following other identifiers:
- ISIN
US37443GAG64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
449448.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0630533

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GHANA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 223

Item C.1. Identification of investment.

a. Name of issuer (if any).
GHANA GOVT
b. LEI (if any) of issuer. (1)
213800PP4399SNNXZ126
c. Title of the issue or description of the investment.
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
d. CUSIP (if any).
37443GAH4
At least one of the following other identifiers:
- ISIN
US37443GAH48

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
512056.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0718366

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GHANA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 224

Item C.1. Identification of investment.

a. Name of issuer (if any).
GHANA GOVT
b. LEI (if any) of issuer. (1)
213800PP4399SNNXZ126
c. Title of the issue or description of the investment.
REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75
d. CUSIP (if any).
37443GAJ0
At least one of the following other identifiers:
- ISIN
US37443GAJ04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
168889.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0236936

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GHANA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2061-03-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 225

Item C.1. Identification of investment.

a. Name of issuer (if any).
SEQUA CORPORATION
b. LEI (if any) of issuer. (1)
549300JLD7TQRZ92KO78
c. Title of the issue or description of the investment.
SEQUA CORP PREFERRED STOCK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US8173208070

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
24480.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
26786016.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.7578209

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 226

Item C.1. Identification of investment.

a. Name of issuer (if any).
AXIS ENERGY SERVICES HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES
d. CUSIP (if any).
942WZK900
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY009T1
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2048.360000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
30165.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0042319

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 227

Item C.1. Identification of investment.

a. Name of issuer (if any).
STICHTING AK RABOBANK CERTIFICATEN
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
BJBQCWII7
At least one of the following other identifiers:
- ISIN
XS1002121454

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13400775.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
21560380.440000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
3.0247144

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 228

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 BI
d. CUSIP (if any).
38378HR99
At least one of the following other identifiers:
- ISIN
US38378HR997

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
148695.210000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14618.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0020509

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-10-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 229

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 CI
d. CUSIP (if any).
38378HU95
At least one of the following other identifiers:
- ISIN
US38378HU959

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
51068.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5642.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0007916

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-10-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 230

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 KI
d. CUSIP (if any).
38378HT55
At least one of the following other identifiers:
- ISIN
US38378HT555

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
157740.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
21062.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0029549

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-10-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 231

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI
d. CUSIP (if any).
38378HFV3
At least one of the following other identifiers:
- ISIN
US38378HFV33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
104227.650000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11526.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0016170

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-06-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 232

Item C.1. Identification of investment.

a. Name of issuer (if any).
GROSVENOR PLACE CLO BV 2015-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GROSVENOR PLACE CLO BV GROSV 2015 1A SUB 144A
d. CUSIP (if any).
39927WAV9
At least one of the following other identifiers:
- ISIN
US39927WAV90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
306468.630000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0429946

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-30
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 233

Item C.1. Identification of investment.

a. Name of issuer (if any).
GSPA MONETIZATION TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422
d. CUSIP (if any).
36298GAA7
At least one of the following other identifiers:
- ISIN
US36298GAA76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2947426.560000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3141462.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4407170

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.422
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 234

Item C.1. Identification of investment.

a. Name of issuer (if any).
HCA INC
b. LEI (if any) of issuer. (1)
L3CJ6J7LJ2DX62FTXD46
c. Title of the issue or description of the investment.
HCA INC COMPANY GUAR 11/95 7.5
d. CUSIP (if any).
197677AH0
At least one of the following other identifiers:
- ISIN
US197677AH07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1797600.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2521860

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2095-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 235

Item C.1. Identification of investment.

a. Name of issuer (if any).
HERTZ CORP
b. LEI (if any) of issuer. (1)
549300PD0C69OJ0NLB27
c. Title of the issue or description of the investment.
HERTZ CORPORATION 2021 TERM LOAN B
d. CUSIP (if any).
42804VBB6
At least one of the following other identifiers:
- ISIN
US42804VBB62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5979.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5993.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0008408

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 236

Item C.1. Identification of investment.

a. Name of issuer (if any).
HOLLYFRONTIER CORPORATION
b. LEI (if any) of issuer. (1)
549300J3U2WK73C9ZK26
c. Title of the issue or description of the investment.
HOLLYFRONTIER CORP SR UNSECURED 10/30 4.5
d. CUSIP (if any).
436106AC2
At least one of the following other identifiers:
- ISIN
US436106AC21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10747000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11721235.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6443768

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.
2030-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 237

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSBC HOLDINGS PLC
b. LEI (if any) of issuer. (1)
MLU0ZO3ML4LN2LL2TL39
c. Title of the issue or description of the investment.
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
404280BP3
At least one of the following other identifiers:
- ISIN
US404280BP39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
335266.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0470347

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.
2028-03-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1HSBC HOLDINGS PLCHSBC HOLDINGS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0005405286

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1370.37 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 238

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSBC HOLDINGS PLC
b. LEI (if any) of issuer. (1)
MLU0ZO3ML4LN2LL2TL39
c. Title of the issue or description of the investment.
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
BFM4XMII1
At least one of the following other identifiers:
- ISIN
XS1884698256

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
296235.940000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0415591

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.
2026-09-28
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1HSBC HOLDINGS PLCHSBC HOLDINGS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0005405286

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1370.37 United Kingdom Pound

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 239

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSBC HOLDINGS PLC
b. LEI (if any) of issuer. (1)
MLU0ZO3ML4LN2LL2TL39
c. Title of the issue or description of the investment.
HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
ACI0H2TW1
At least one of the following other identifiers:
- ISIN
XS1298431104

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2070000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2588126.940000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.3630894

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.
2023-09-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1HSBC HOLDINGS PLCHSBC HOLDINGS PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0005405286

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1370.37 Euro Member Countries

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 240

Item C.1. Identification of investment.

a. Name of issuer (if any).
INDYMAC IMSC MTGE LN TRUST 2007-F2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F2 2A1
d. CUSIP (if any).
45670JAE2
At least one of the following other identifiers:
- ISIN
US45670JAE29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3440200.400000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1738452.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2438883

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 241

Item C.1. Identification of investment.

a. Name of issuer (if any).
INDYMAC RESIDENTIAL ASSET BACKED 2007-B
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2
d. CUSIP (if any).
43710EAD2
At least one of the following other identifiers:
- ISIN
US43710EAD22

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2620725.300000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1776530.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2492302

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.24925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 242

Item C.1. Identification of investment.

a. Name of issuer (if any).
INNOPHOS HOLDINGS INC
b. LEI (if any) of issuer. (1)
XQ0331QX53IRX25OY417
c. Title of the issue or description of the investment.
INNOPHOS HOLDINGS INC SR UNSECURED 144A 02/28 9.375
d. CUSIP (if any).
45774NAB4
At least one of the following other identifiers:
- ISIN
US45774NAB47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
124000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
134615.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0188853

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 243

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
b. LEI (if any) of issuer. (1)
549300V3NU625PJUVA84
c. Title of the issue or description of the investment.
UNITI GROUP INC REIT USD.0001
d. CUSIP (if any).
91325V108
At least one of the following other identifiers:
- ISIN
US91325V1089

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
274273.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3924846.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5506183

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 244

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT (LUXEMBOURG) SA
b. LEI (if any) of issuer. (1)
54930027UF5LR7S2XC75
c. Title of the issue or description of the investment.
INTELSAT LUXEMBOURG SA COMPANY GUAR 06/23 8.125
d. CUSIP (if any).
458204AQ7
At least one of the following other identifiers:
- ISIN
US458204AQ79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7535000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
84768.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0118922

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.
2023-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.125
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 245

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT CONNECT FINANCE SA
b. LEI (if any) of issuer. (1)
549300T8SOCBO2H77X11
c. Title of the issue or description of the investment.
INTELSAT CONNECT FINANCE COMPANY GUAR 144A 02/23 9.5
d. CUSIP (if any).
45827AAD5
At least one of the following other identifiers:
- ISIN
US45827AAD54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
52000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13085.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0018358

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.
2023-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 246

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HLDG COMPANY GUAR 08/23 5.5
d. CUSIP (if any).
45824TAP0
At least one of the following other identifiers:
- ISIN
US45824TAP03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3453000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1739448.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2440280

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.
2023-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 247

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HLDG COMPANY GUAR 144A 07/25 9.75
d. CUSIP (if any).
45824TAY1
At least one of the following other identifiers:
- ISIN
US45824TAY10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9438000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4754392.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6669956

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.
2025-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.75
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 248

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HLDG COMPANY GUAR 144A 10/24 8.5
d. CUSIP (if any).
45824TBA2
At least one of the following other identifiers:
- ISIN
US45824TBA25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5936875.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8328866

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.
2024-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 249

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HLDG SR SECURED 144A 02/24 8
d. CUSIP (if any).
45824TAR6
At least one of the following other identifiers:
- ISIN
US45824TAR68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11261.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0015798

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.
2024-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 250

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS SA 2021 DIP TERM LOAN
d. CUSIP (if any).
L5137LAM7
At least one of the following other identifiers:
- ISIN
XAL5137LAM71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1663098.750000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1671414.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2344834

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-10-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 251

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTERNET BRANDS INC (MH SUB I LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MH SUB I LLC AMENDMENT NO. 2 INITIAL TERM
d. CUSIP (if any).
45567YAJ4
At least one of the following other identifiers:
- ISIN
US45567YAJ47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2236014.610000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2230250.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3128827

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-09-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.587
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 252

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD COMMON STOCK USD.01
d. CUSIP (if any).
G9460G101
At least one of the following other identifiers:
- ISIN
BMG9460G1015

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2535.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
89282.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0125255

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

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: 253

Item C.1. Identification of investment.

a. Name of issuer (if any).
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
b. LEI (if any) of issuer. (1)
254900ICW11T82O6H590
c. Title of the issue or description of the investment.
IVORY COAST SR UNSECURED 144A 01/32 4.875
d. CUSIP (if any).
ACI1T3TK0
At least one of the following other identifiers:
- ISIN
XS2264968665

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2038239.920000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2859455

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)
COTE D'IVOIRE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 254

Item C.1. Identification of investment.

a. Name of issuer (if any).
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
b. LEI (if any) of issuer. (1)
254900ICW11T82O6H590
c. Title of the issue or description of the investment.
IVORY COAST SR UNSECURED 144A 03/48 6.625
d. CUSIP (if any).
ACI11JRN1
At least one of the following other identifiers:
- ISIN
XS1796266838

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
808639.700000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.1134444

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)
COTE D'IVOIRE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-03-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 255

Item C.1. Identification of investment.

a. Name of issuer (if any).
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
b. LEI (if any) of issuer. (1)
254900ICW11T82O6H590
c. Title of the issue or description of the investment.
IVORY COAST SR UNSECURED REGS 01/32 4.875
d. CUSIP (if any).
ACI1T3QV9
At least one of the following other identifiers:
- ISIN
XS2264871828

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1811768.820000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.2541738

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)
COTE D'IVOIRE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 256

Item C.1. Identification of investment.

a. Name of issuer (if any).
JACKSON PARK TRUST 2019-LIC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JACKSON PARK TRUST JAX 2019 LIC E 144A
d. CUSIP (if any).
46868RAN4
At least one of the following other identifiers:
- ISIN
US46868RAN44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2116000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1955391.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2743227

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-10-14
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.2424
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 257

Item C.1. Identification of investment.

a. Name of issuer (if any).
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
b. LEI (if any) of issuer. (1)
529900L73GEWN1O5NH84
c. Title of the issue or description of the investment.
JAGUAR LAND ROVER AUTOMO SR UNSECURED 144A 01/28 5.875
d. CUSIP (if any).
47010BAK0
At least one of the following other identifiers:
- ISIN
US47010BAK08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2596763.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3643009

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.
2028-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 258

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN ALTERNATIVE LN TRUST 2006-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A1 4A1
d. CUSIP (if any).
46627MDA2
At least one of the following other identifiers:
- ISIN
US46627MDA27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1039997.870000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
929539.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1304055

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.79555
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 259

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN ALTERNATIVE LN TRUST 2006-A2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1
d. CUSIP (if any).
46628GAL3
At least one of the following other identifiers:
- ISIN
US46628GAL32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
951096.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
685041.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0961048

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.72876
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 260

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN ALTERNATIVE LN TRUST 2007-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 3A1
d. CUSIP (if any).
466287AR0
At least one of the following other identifiers:
- ISIN
US466287AR06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600408.890000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
629222.810000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0882739

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.31984
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 261

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MORTGAGE TRUST 2006-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2
d. CUSIP (if any).
466247F57
At least one of the following other identifiers:
- ISIN
US466247F570

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
175861.080000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
146836.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0205998

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.72451
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 262

Item C.1. Identification of investment.

a. Name of issuer (if any).
VICI PROPERTIES INC
b. LEI (if any) of issuer. (1)
254900RKH6RY9KCJQH63
c. Title of the issue or description of the investment.
VICI PROPERTIES INC REIT USD.01
d. CUSIP (if any).
925652109
At least one of the following other identifiers:
- ISIN
US9256521090

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
423584.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12432190.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.7441170

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 263

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MORTGAGE TRUST-2005-S2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A16
d. CUSIP (if any).
466247VJ9
At least one of the following other identifiers:
- ISIN
US466247VJ91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
58578.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
53958.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0075699

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)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 264

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MTGE TRUST 2005-A7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1
d. CUSIP (if any).
466247WT6
At least one of the following other identifiers:
- ISIN
US466247WT64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
79433.820000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
79399.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0111391

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.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.72516
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 265

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOYAGER AVIATION HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300KHOKL1CX4NIJ92
c. Title of the issue or description of the investment.
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
d. CUSIP (if any).
942UCF009
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
92918X9D9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1154.830000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 266

Item C.1. Identification of investment.

a. Name of issuer (if any).
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 AJ
d. CUSIP (if any).
50180CAG5
At least one of the following other identifiers:
- ISIN
US50180CAG50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
278147.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
86239.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0120985

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.
2038-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.407
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 267

Item C.1. Identification of investment.

a. Name of issuer (if any).
LB-UBS COMMERCIAL MORTGAGE TRUST 2007-C2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C2 AJ
d. CUSIP (if any).
50180JAG0
At least one of the following other identifiers:
- ISIN
US50180JAG04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
212059.710000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
88573.060000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0124260

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.
2040-02-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.24895
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 268

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEALAND FINANCE COMPANY BV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
d. CUSIP (if any).
N5200EAC5
At least one of the following other identifiers:
- ISIN
XAN5200EAC56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
87712.670000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
52627.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0073831

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.087
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 269

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEALAND FINANCE COMPANY BV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
d. CUSIP (if any).
N5200EAB7
At least one of the following other identifiers:
- ISIN
XAN5200EAB73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
777659.030000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
366277.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0513852

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.087
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 270

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEHMAN MORTGAGE TRUST 2007-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEHMAN MORTGAGE TRUST LMT 2007 6 1A11
d. CUSIP (if any).
52521NAJ9
At least one of the following other identifiers:
- ISIN
US52521NAJ90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
306481.260000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
310077.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0435009

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 271

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEHMAN MORTGAGE TRUST 2007-8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEHMAN MORTGAGE TRUST LMT 2007 8 2A1
d. CUSIP (if any).
52521YAC0
At least one of the following other identifiers:
- ISIN
US52521YAC03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1758649.260000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
887034.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1244424

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 272

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEHMAN XS TRUST 2006-11
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEHMAN XS TRUST LXS 2006 11 2A2
d. CUSIP (if any).
52522WAF6
At least one of the following other identifiers:
- ISIN
US52522WAF68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
802825.090000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
851729.340000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1194895

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-06-24
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.79
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 273

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTMORELAND MINING HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WESTMORELAND MINING HOLDINGS L COMMON
d. CUSIP (if any).
935ZXN908
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY03452
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
53248.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000007

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 274

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEHMAN XS TRUST 2007-7N
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEHMAN XS TRUST LXS 2007 7N 1A1A
d. CUSIP (if any).
52524GAA0
At least one of the following other identifiers:
- ISIN
US52524GAA04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1191701.110000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1153476.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1618217

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.30925
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 275

Item C.1. Identification of investment.

a. Name of issuer (if any).
LLOYDS BANKING GROUP PLC
b. LEI (if any) of issuer. (1)
549300PPXHEU2JF0AM85
c. Title of the issue or description of the investment.
LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
539439AU3
At least one of the following other identifiers:
- ISIN
US539439AU36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5999000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6887603.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9662647

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1LLOYDS BANKING GROUP PLCLLOYDS BANKING GROUP PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0008706128

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#11579.78 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 276

Item C.1. Identification of investment.

a. Name of issuer (if any).
LLOYDS BANKING GROUP PLC
b. LEI (if any) of issuer. (1)
549300PPXHEU2JF0AM85
c. Title of the issue or description of the investment.
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
ACI0808F5
At least one of the following other identifiers:
- ISIN
XS1043552188

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
3371937.870000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.4730505

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.
2023-06-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1LLOYDS BANKING GROUP PLCLLOYDS BANKING GROUP PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0008706128

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#11555.21 United Kingdom Pound

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 277

Item C.1. Identification of investment.

a. Name of issuer (if any).
LLOYDS BANKING GROUP PLC
b. LEI (if any) of issuer. (1)
549300PPXHEU2JF0AM85
c. Title of the issue or description of the investment.
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
ACI0808H1
At least one of the following other identifiers:
- ISIN
XS1043552261

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6518000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
11222743.600000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
1.5744432

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.
2029-06-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1LLOYDS BANKING GROUP PLCLLOYDS BANKING GROUP PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB0008706128

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#11555.21 United Kingdom Pound

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 278

Item C.1. Identification of investment.

a. Name of issuer (if any).
MAGNETITE VII LTD 2012-7A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MAGNETITE CLO LTD MAGNE 2012 7A SUB 144A
d. CUSIP (if any).
55952XAC3
At least one of the following other identifiers:
- ISIN
US55952XAC39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5650000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2665024.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3738774

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 279

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2019-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A
d. CUSIP (if any).
57109M101
At least one of the following other identifiers:
- ISIN
US57109M1018

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7112.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
749145.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1050979

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-09-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 280

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2020-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A
d. CUSIP (if any).
57109J108
At least one of the following other identifiers:
- ISIN
US57109J1088

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5733.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
943838.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1324115

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.
2030-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 281

Item C.1. Identification of investment.

a. Name of issuer (if any).
MASTR ASSET SECURITIZATION TR 2007-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MASTR ASSET SECURITIZATION TRU MASTR 2007 1 1A4
d. CUSIP (if any).
55292AAD0
At least one of the following other identifiers:
- ISIN
US55292AAD00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
357696.530000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
130302.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0182802

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.
2037-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 282

Item C.1. Identification of investment.

a. Name of issuer (if any).
MAUSER PACKAGING SOLUTIONS HOLDING COMPANY
b. LEI (if any) of issuer. (1)
549300DNGHXL0OMHW304
c. Title of the issue or description of the investment.
BWAY HLDG CO TERM LOAN
d. CUSIP (if any).
05604XAP1
At least one of the following other identifiers:
- ISIN
US05604XAP15

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
895324.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
872941.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1224653

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-04-03
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.337
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 283

Item C.1. Identification of investment.

a. Name of issuer (if any).
MAVENIR SYSTEMS INC
b. LEI (if any) of issuer. (1)
549300Q70CXM8TJLTD42
c. Title of the issue or description of the investment.
MAVENIR SYSTEMS INC 2021 TERM LOAN B
d. CUSIP (if any).
57767EAE2
At least one of the following other identifiers:
- ISIN
US57767EAE23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2714625.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3808360

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 284

Item C.1. Identification of investment.

a. Name of issuer (if any).
MEDLINE (MOZART BORROWER LP)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MEDLINE INDUSTRIES INC USD TERM LOAN B
d. CUSIP (if any).
58503UAC7
At least one of the following other identifiers:
- ISIN
US58503UAC71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2104032.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2951755

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-10-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 285

Item C.1. Identification of investment.

a. Name of issuer (if any).
MEDLINE INDUSTRIES (MEDLINE BORROWER LP/MEDLINE CO-ISSUER)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MOZART DEBT MERGER SUB SR SECURED 144A 04/29 3.875
d. CUSIP (if any).
62482BAA0
At least one of the following other identifiers:
- ISIN
US62482BAA08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2092125.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2935051

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.
2029-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 286

Item C.1. Identification of investment.

a. Name of issuer (if any).
MEDLINE INDUSTRIES (MEDLINE BORROWER LP/MEDLINE CO-ISSUER)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MOZART DEBT MERGER SUB SR UNSECURED 144A 10/29 5.25
d. CUSIP (if any).
62482BAB8
At least one of the following other identifiers:
- ISIN
US62482BAB80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1829250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2566262

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 287

Item C.1. Identification of investment.

a. Name of issuer (if any).
MEDLINE INDUSTRIES INC
b. LEI (if any) of issuer. (1)
BFU6OK7LIKHO5ZXU3397
c. Title of the issue or description of the investment.
MEDLINE INDUSTRIES INC BRIDGE TERM LOAN
d. CUSIP (if any).
938QJJII1
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3685965
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3264102.560000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3219906.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4517220

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-08-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 288

Item C.1. Identification of investment.

a. Name of issuer (if any).
MEDLINE INDUSTRIES INC
b. LEI (if any) of issuer. (1)
BFU6OK7LIKHO5ZXU3397
c. Title of the issue or description of the investment.
MEDLINE INDUSTRIES INC UNSECURED BRIDGE TERM LOAN
d. CUSIP (if any).
938QJHII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3685908
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3435897.440000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3389375.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4754968

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-08-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 289

Item C.1. Identification of investment.

a. Name of issuer (if any).
MELCO RESORTS FINANCE LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75
d. CUSIP (if any).
58547DAE9
At least one of the following other identifiers:
- ISIN
US58547DAE94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1895250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2658854

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-07-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 290

Item C.1. Identification of investment.

a. Name of issuer (if any).
MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C
d. CUSIP (if any).
59021AAC2
At least one of the following other identifiers:
- ISIN
US59021AAC27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
424771.610000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
288475.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0404704

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.40925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 291

Item C.1. Identification of investment.

a. Name of issuer (if any).
MERRILL LYNCH MTGE INVESTORS 2006-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1
d. CUSIP (if any).
59020U5W1
At least one of the following other identifiers:
- ISIN
US59020U5W12

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1212566.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
764026.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1071856

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.72135
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 292

Item C.1. Identification of investment.

a. Name of issuer (if any).
MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MGM GROWTH/MGM FINANCE COMPANY GUAR 01/28 4.5
d. CUSIP (if any).
55303XAF2
At least one of the following other identifiers:
- ISIN
US55303XAF24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2291000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2487212.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3489321

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 293

Item C.1. Identification of investment.

a. Name of issuer (if any).
AADVANTAGE LOYALTY IP LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AADVANTAGE LOYALTY IP LTD 2021 TERM LOAN
d. CUSIP (if any).
02376CBJ3
At least one of the following other identifiers:
- ISIN
US02376CBJ36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
937575.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1315328

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 294

Item C.1. Identification of investment.

a. Name of issuer (if any).
MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MGM GROWTH/MGM FINANCE COMPANY GUAR 144A 02/29 3.875
d. CUSIP (if any).
55303XAL9
At least one of the following other identifiers:
- ISIN
US55303XAL91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3922999.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5503591

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 295

Item C.1. Identification of investment.

a. Name of issuer (if any).
MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)
b. LEI (if any) of issuer. (1)
213800227GGD6UI7PI97
c. Title of the issue or description of the investment.
BCP MODULAR SERVICES SR SECURED 144A 11/28 4.75
d. CUSIP (if any).
ACI210SV1
At least one of the following other identifiers:
- ISIN
XS2397447298

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1910000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2208180.550000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.3097865

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.
2028-11-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 296

Item C.1. Identification of investment.

a. Name of issuer (if any).
MOHEGAN GAMING & ENTERTAINMENT
b. LEI (if any) of issuer. (1)
549300UB083Z2NRDHC48
c. Title of the issue or description of the investment.
MOHEGAN GAMING + ENT SECURED 144A 02/26 8
d. CUSIP (if any).
608328BH2
At least one of the following other identifiers:
- ISIN
US608328BH21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1239000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1738198

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.
2026-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 297

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY MTGE LN TR 2007-10XS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A2
d. CUSIP (if any).
61751MAC8
At least one of the following other identifiers:
- ISIN
US61751MAC82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
463040.590000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
290507.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0407554

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 298

Item C.1. Identification of investment.

a. Name of issuer (if any).
MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)
b. LEI (if any) of issuer. (1)
5493002WXOPRPTXWTU06
c. Title of the issue or description of the investment.
MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B
d. CUSIP (if any).
55328HAK7
At least one of the following other identifiers:
- ISIN
US55328HAK77

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6840316.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9596307

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-17
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 299

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATWEST GROUP PLC
b. LEI (if any) of issuer. (1)
2138005O9XJIJN4JPN90
c. Title of the issue or description of the investment.
NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
d. CUSIP (if any).
780099CK1
At least one of the following other identifiers:
- ISIN
US780099CK11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5990000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7030852.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9863611

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-08-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1NATWEST GROUP PLCNATWEST GROUP PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB00B7T77214

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1277.316 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 300

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATWEST GROUP PLC
b. LEI (if any) of issuer. (1)
2138005O9XJIJN4JPN90
c. Title of the issue or description of the investment.
NATWEST GROUP PLC JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
780097BQ3
At least one of the following other identifiers:
- ISIN
US780097BQ34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2659032.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3730367

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-12-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☒ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1NATWEST GROUP PLCNATWEST GROUP PLC United Kingdom Pound
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) GB00B7T77214

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#1570.125 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 301

Item C.1. Identification of investment.

a. Name of issuer (if any).
NAVIENT CORPORATION
b. LEI (if any) of issuer. (1)
54930067J0ZNOEBRW338
c. Title of the issue or description of the investment.
NAVIENT CORP SR UNSECURED 08/33 5.625
d. CUSIP (if any).
78442FAZ1
At least one of the following other identifiers:
- ISIN
US78442FAZ18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
48000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
45628.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0064012

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 302

Item C.1. Identification of investment.

a. Name of issuer (if any).
NCL CORPORATION LTD
b. LEI (if any) of issuer. (1)
UNZWILHE4KMRP9K2L524
c. Title of the issue or description of the investment.
NCL CORPORATION LTD SR SECURED 144A 02/26 10.25
d. CUSIP (if any).
62886HAY7
At least one of the following other identifiers:
- ISIN
US62886HAY71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3845000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4421942.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6203561

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 303

Item C.1. Identification of investment.

a. Name of issuer (if any).
NCL CORPORATION LTD
b. LEI (if any) of issuer. (1)
UNZWILHE4KMRP9K2L524
c. Title of the issue or description of the investment.
NCL CORPORATION LTD SR SECURED 144A 05/24 12.25
d. CUSIP (if any).
62886HAR2
At least one of the following other identifiers:
- ISIN
US62886HAR21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3440000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4062227.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5698915

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
12.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 304

Item C.1. Identification of investment.

a. Name of issuer (if any).
NEW ALBERTSONS LP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NEW ALBERTSONS LP SR UNSECURED 02/28 6.57
d. CUSIP (if any).
01310QCW3
At least one of the following other identifiers:
- ISIN
US01310QCW33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7543546.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0582871

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.57
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 305

Item C.1. Identification of investment.

a. Name of issuer (if any).
NEWMARK GROUP INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NEWMARK GROUP INC SR UNSECURED 11/23 6.125
d. CUSIP (if any).
65158NAB8
At least one of the following other identifiers:
- ISIN
US65158NAB82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
62000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
67037.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0094047

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.
2023-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 306

Item C.1. Identification of investment.

a. Name of issuer (if any).
NGD HOLDINGS BV
b. LEI (if any) of issuer. (1)
984500ED2ABF0UF46690
c. Title of the issue or description of the investment.
NGD HOLDINGS BV SR SECURED 12/26 6.75
d. CUSIP (if any).
ACI1XVPP6
At least one of the following other identifiers:
- ISIN
XS2342932576

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
395991.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
390090.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0547260

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 307

Item C.1. Identification of investment.

a. Name of issuer (if any).
ADAGIO VI CLO DAC VI-A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ADAGIO CLO ADAGI VI A SUB 144A
d. CUSIP (if any).
ACI0YQYN3
At least one of the following other identifiers:
- ISIN
XS1710468239

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1202078.520000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.1686401

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-04-30
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 308

Item C.1. Identification of investment.

a. Name of issuer (if any).
NISSAN MOTOR CO LTD
b. LEI (if any) of issuer. (1)
353800DRBDH1LUTNAY26
c. Title of the issue or description of the investment.
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
d. CUSIP (if any).
654744AD3
At least one of the following other identifiers:
- ISIN
US654744AD34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11677806.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6382841

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JAPAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-09-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.81
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 309

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE FINANCE CO SECURED 02/28 11
d. CUSIP (if any).
65505JAC5
At least one of the following other identifiers:
- ISIN
US65505JAC53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
29827.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33145.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0046500

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 310

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE FINANCE CO SECURED 144A 02/28 11
d. CUSIP (if any).
65505JAA9
At least one of the following other identifiers:
- ISIN
US65505JAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21309.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23679.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0033220

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 311

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA ASSET ACCEPTANCE CORP 2005-AP2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5
d. CUSIP (if any).
65535VLL0
At least one of the following other identifiers:
- ISIN
US65535VLL08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7922.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5219.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0007323

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.
2035-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.476
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 312

Item C.1. Identification of investment.

a. Name of issuer (if any).
NORTHWESTERN BELL TELEPHONE
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NORTHWESTERN BELL TELEPH SR UNSECURED 05/30 7.75
d. CUSIP (if any).
668027AT2
At least one of the following other identifiers:
- ISIN
US668027AT26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12625000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15997303.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.2442682

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 313

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT DRILLING NORBE VIII/IX LTD
b. LEI (if any) of issuer. (1)
549300YNW6BY570L6488
c. Title of the issue or description of the investment.
ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35
d. CUSIP (if any).
G67106AC1
At least one of the following other identifiers:
- ISIN
USG67106AC18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
247256.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
143408.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0201188

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.35
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 314

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
b. LEI (if any) of issuer. (1)
549300L7LF2PIRAWID66
c. Title of the issue or description of the investment.
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/22 6.72
d. CUSIP (if any).
G6711KAC9
At least one of the following other identifiers:
- ISIN
USG6711KAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
559362.640000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
556571.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0780816

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.72
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 315

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
b. LEI (if any) of issuer. (1)
549300L7LF2PIRAWID66
c. Title of the issue or description of the investment.
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72
d. CUSIP (if any).
G6711KAD7
At least one of the following other identifiers:
- ISIN
USG6711KAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7880726.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1979795.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2777464

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.72
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 316

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OIL & GAS FINANCE LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000
d. CUSIP (if any).
67576JAB7
At least one of the following other identifiers:
- ISIN
US67576JAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
700265.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9628.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0013508

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-12-06
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 317

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OIL & GAS FINANCE LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
USG6712EAB41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
401060.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5514.580000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0007736

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-12-06
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 318

Item C.1. Identification of investment.

a. Name of issuer (if any).
OHIO STATE UNIVERSITY
b. LEI (if any) of issuer. (1)
JFC10ZULKO4X2E3HBY86
c. Title of the issue or description of the investment.
OHIO ST UNIV OHSHGR 06/11 FIXED OID 4.8
d. CUSIP (if any).
677632PA3
At least one of the following other identifiers:
- ISIN
US677632PA36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16876085.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.3675528

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2111-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 319

Item C.1. Identification of investment.

a. Name of issuer (if any).
OI MOVEL SA
b. LEI (if any) of issuer. (1)
254900M3NQMOCMEIGF93
c. Title of the issue or description of the investment.
OI MOVEL SA SR SECURED REGS 07/26 8.75
d. CUSIP (if any).
ACI1ZJ987
At least one of the following other identifiers:
- ISIN
XS2370808318

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2595000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3640536

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 320

Item C.1. Identification of investment.

a. Name of issuer (if any).
OI SA (AKA: BRASIL TELECOM S/A)
b. LEI (if any) of issuer. (1)
254900YEMWCRRAGD4978
c. Title of the issue or description of the investment.
OI SA COMPANY GUAR 07/25 VAR
d. CUSIP (if any).
P7354PAA2
At least one of the following other identifiers:
- ISIN
USP7354PAA23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3609180.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5063333

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-07-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 321

Item C.1. Identification of investment.

a. Name of issuer (if any).
ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION)
b. LEI (if any) of issuer. (1)
5493008I795YYBFWFU90
c. Title of the issue or description of the investment.
ONEMAIN FINANCE CORP COMPANY GUAR 03/24 6.125
d. CUSIP (if any).
85172FAP4
At least one of the following other identifiers:
- ISIN
US85172FAP45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
134000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
142710.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0200208

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.
2024-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 322

Item C.1. Identification of investment.

a. Name of issuer (if any).
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ORTHO CLINICAL INC/SA SR UNSECURED 144A 06/25 7.375
d. CUSIP (if any).
68752DAC2
At least one of the following other identifiers:
- ISIN
US68752DAC20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
131000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
137687.550000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0193162

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.
2025-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 323

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75
d. CUSIP (if any).
694308HH3
At least one of the following other identifiers:
- ISIN
US694308HH37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6295000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6517754.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9143784

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 324

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3
d. CUSIP (if any).
694308HL4
At least one of the following other identifiers:
- ISIN
US694308HL49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
27000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27370.010000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0038397

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.
2045-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.3
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 325

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
d. CUSIP (if any).
694308GZ4
At least one of the following other identifiers:
- ISIN
US694308GZ44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
535000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
545647.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0765492

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.45
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 326

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6
d. CUSIP (if any).
694308HD2
At least one of the following other identifiers:
- ISIN
US694308HD23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
18000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
18447.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0025880

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.
2043-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 327

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/25 3.45
d. CUSIP (if any).
694308JL2
At least one of the following other identifiers:
- ISIN
US694308JL21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
227500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
237248.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0332837

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.
2025-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.45
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 328

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55
d. CUSIP (if any).
694308JM0
At least one of the following other identifiers:
- ISIN
US694308JM04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3738500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4075600.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5717676

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.
2030-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.55
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 329

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5
d. CUSIP (if any).
694308JQ1
At least one of the following other identifiers:
- ISIN
US694308JQ18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2873000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2994131.020000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4200478

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.
2040-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 330

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95
d. CUSIP (if any).
694308JN8
At least one of the following other identifiers:
- ISIN
US694308JN86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4702500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5211612.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7311392

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.
2050-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.95
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 331

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75
d. CUSIP (if any).
694308HA8
At least one of the following other identifiers:
- ISIN
US694308HA83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
22000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
20896.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0029316

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.
2042-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 332

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5
d. CUSIP (if any).
694308GY7
At least one of the following other identifiers:
- ISIN
US694308GY78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
22000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22069.890000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0030962

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.
2041-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 333

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
d. CUSIP (if any).
694308HR1
At least one of the following other identifiers:
- ISIN
US694308HR19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7960.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0011168

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 334

Item C.1. Identification of investment.

a. Name of issuer (if any).
PENNYMAC FINANCIAL SERVICES INC
b. LEI (if any) of issuer. (1)
549300W1D516HBDEU871
c. Title of the issue or description of the investment.
PENNYMAC FIN SVCS INC COMPANY GUAR 144A 02/29 4.25
d. CUSIP (if any).
70932MAB3
At least one of the following other identifiers:
- ISIN
US70932MAB37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
283125.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0397197

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 335

Item C.1. Identification of investment.

a. Name of issuer (if any).
PENNYMAC FINANCIAL SERVICES INC
b. LEI (if any) of issuer. (1)
549300W1D516HBDEU871
c. Title of the issue or description of the investment.
PENNYMAC FIN SVCS INC COMPANY GUAR 144A 09/31 5.75
d. CUSIP (if any).
70932MAC1
At least one of the following other identifiers:
- ISIN
US70932MAC10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1477500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2072791

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 336

Item C.1. Identification of investment.

a. Name of issuer (if any).
PERU LNG SRL
b. LEI (if any) of issuer. (1)
254900F70J1LOALV5K70
c. Title of the issue or description of the investment.
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
d. CUSIP (if any).
P7721BAE1
At least one of the following other identifiers:
- ISIN
USP7721BAE13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5370000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4561278.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6399035

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 337

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROBRAS GLOBAL FINANCE BV
b. LEI (if any) of issuer. (1)
549300FNENFFSMO3GT38
c. Title of the issue or description of the investment.
PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/34 6.625
d. CUSIP (if any).
ACI07KN16
At least one of the following other identifiers:
- ISIN
XS0982711474

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
154720.130000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0217057

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.
2034-01-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 338

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROBRAS GLOBAL FINANCE BV
b. LEI (if any) of issuer. (1)
549300FNENFFSMO3GT38
c. Title of the issue or description of the investment.
PETROBRAS GLOBAL FINANCE COMPANY GUAR 06/50 6.75
d. CUSIP (if any).
71647NBG3
At least one of the following other identifiers:
- ISIN
US71647NBG34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2175000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2234573.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3134892

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.
2050-06-03
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 339

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84
d. CUSIP (if any).
71654QDC3
At least one of the following other identifiers:
- ISIN
US71654QDC33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2530000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2649959.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3717639

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.84
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 340

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95
d. CUSIP (if any).
71654QDE9
At least one of the following other identifiers:
- ISIN
US71654QDE98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2567000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2530612.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3550207

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-01-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.95
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 341

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 01/50 7.69
d. CUSIP (if any).
71654QDD1
At least one of the following other identifiers:
- ISIN
US71654QDD16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2320000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2220332.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3114914

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-01-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.69
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 342

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 01/60 6.95
d. CUSIP (if any).
71654QDF6
At least one of the following other identifiers:
- ISIN
US71654QDF63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
320000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
284480.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0399098

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2060-01-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.95
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 343

Item C.1. Identification of investment.

a. Name of issuer (if any).
AGGREKO (ALBION FINANCING 3 SARL)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ALBION FINANCING 3 SARL USD TERM LOAN
d. CUSIP (if any).
941VWLII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3570233
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1379000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1372105.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1924932

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-31
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 344

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 03/27 6.5
d. CUSIP (if any).
71654QCG5
At least one of the following other identifiers:
- ISIN
US71654QCG55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2659000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2838163.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3981671

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-03-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 345

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75
d. CUSIP (if any).
71654QCC4
At least one of the following other identifiers:
- ISIN
US71654QCC42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
50000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44328.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0062188

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-09-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 346

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR REGS 02/28 4.875
d. CUSIP (if any).
BYWQJHII7
At least one of the following other identifiers:
- ISIN
XS1568888777

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
318000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
370916.430000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0520360

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 347

Item C.1. Identification of investment.

a. Name of issuer (if any).
PETROLEOS MEXICANOS (PEMEX)
b. LEI (if any) of issuer. (1)
549300CAZKPF4HKMPX17
c. Title of the issue or description of the investment.
PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75
d. CUSIP (if any).
ACI0CBT55
At least one of the following other identifiers:
- ISIN
XS1172951508

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4476000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
4852985.900000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.6808273

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 348

Item C.1. Identification of investment.

a. Name of issuer (if any).
PRA GROUP INC
b. LEI (if any) of issuer. (1)
549300Q5HW3JSSB86K27
c. Title of the issue or description of the investment.
PRA GROUP INC COMPANY GUAR 144A 09/25 7.375
d. CUSIP (if any).
69354NAC0
At least one of the following other identifiers:
- ISIN
US69354NAC02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2135000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2995200

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 349

Item C.1. Identification of investment.

a. Name of issuer (if any).
PRA GROUP INC
b. LEI (if any) of issuer. (1)
549300Q5HW3JSSB86K27
c. Title of the issue or description of the investment.
PRA GROUP INC COMPANY GUAR 144A 10/29 5
d. CUSIP (if any).
69354NAD8
At least one of the following other identifiers:
- ISIN
US69354NAD84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1484160.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2082134

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 350

Item C.1. Identification of investment.

a. Name of issuer (if any).
PRESS GANEY (AKA: AZALEA TOPCO INC)
b. LEI (if any) of issuer. (1)
549300HC42NZULO53062
c. Title of the issue or description of the investment.
EMERALD TOPCO INC TERM LOAN
d. CUSIP (if any).
29102TAB8
At least one of the following other identifiers:
- ISIN
US29102TAB89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
111720.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
111056.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0155802

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-24
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.6285
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 351

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROMOTORA DE INFORMACIONES SA (PRISA)
b. LEI (if any) of issuer. (1)
959800U3NGPXSCQHQW54
c. Title of the issue or description of the investment.
PROMOTORA DE INFORMACIONES SA 2020 EUR TERM LOAN
d. CUSIP (if any).
937IFGII0
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3473743
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6139000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
6950314.120000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.9750624

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SPAIN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-03-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.955
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 352

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROVINCE OF BUENOS AIRES ARGENTINA
b. LEI (if any) of issuer. (1)
549300L6AYROPOTQ4L07
c. Title of the issue or description of the investment.
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
d. CUSIP (if any).
ACI11ZNP4
At least one of the following other identifiers:
- ISIN
ARPBUE3205N8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8450000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
39482.530000
f. Exchange rate.
180.910000
g. Percentage value compared to net assets of the Fund.
0.0055390

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
37.8965
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 353

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROVINCE OF BUENOS AIRES ARGENTINA
b. LEI (if any) of issuer. (1)
549300L6AYROPOTQ4L07
c. Title of the issue or description of the investment.
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
d. CUSIP (if any).
P1910WRC5
At least one of the following other identifiers:
- ISIN
ARPBUE3205N8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
354562000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
1656687.070000
f. Exchange rate.
180.910000
g. Percentage value compared to net assets of the Fund.
0.2324173

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
37.8965
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 354

Item C.1. Identification of investment.

a. Name of issuer (if any).
PUERTO RICO GOVT
b. LEI (if any) of issuer. (1)
549300X44HXPLJU48U63
c. Title of the issue or description of the investment.
PUERTO RICO CMWLTH PRC 07/35 FIXED 8
d. CUSIP (if any).
74514L2G1
At least one of the following other identifiers:
- ISIN
US74514L2G17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3088750.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4333220

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PUERTO RICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 355

Item C.1. Identification of investment.

a. Name of issuer (if any).
QVC INC
b. LEI (if any) of issuer. (1)
549300WBLU5NKPX5X472
c. Title of the issue or description of the investment.
QVC INC SR SECURED 03/43 5.95
d. CUSIP (if any).
747262AM5
At least one of the following other identifiers:
- ISIN
US747262AM52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2954000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3075882.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4315167

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.95
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 356

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ACCREDIT LOANS 2004-QA6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 CB1
d. CUSIP (if any).
76110HG94
At least one of the following other identifiers:
- ISIN
US76110HG941

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
554835.920000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
287856.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0403835

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.
2034-12-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.24668
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 357

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ACCREDIT LOANS INC 2006-QS10
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A15
d. CUSIP (if any).
751155AQ5
At least one of the following other identifiers:
- ISIN
US751155AQ50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
192649.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
192567.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0270154

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 358

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ASSET SEC TRUST 2007-A9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5
d. CUSIP (if any).
761143AE6
At least one of the following other identifiers:
- ISIN
US761143AE66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2561436.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1504581.770000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2110784

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 359

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ASSET SECUR TR 2007-A7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A1
d. CUSIP (if any).
76114QAA3
At least one of the following other identifiers:
- ISIN
US76114QAA31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1350078.220000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
777718.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1091065

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 360

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ASSET SECUR TRUST 2005-A15
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A2
d. CUSIP (if any).
45660L4H9
At least one of the following other identifiers:
- ISIN
US45660L4H94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
827654.920000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
497196.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0697519

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 361

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL FUNDING MTG SEC I 2006-SA2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA2 3A1
d. CUSIP (if any).
749574AE9
At least one of the following other identifiers:
- ISIN
US749574AE93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
383064.570000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
352403.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0494389

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.17984
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 362

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL FUNDING MTGE SEC 2005-SA4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A31
d. CUSIP (if any).
76111XYF4
At least one of the following other identifiers:
- ISIN
US76111XYF40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
455742.460000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
335742.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0471014

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.
4.70205
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 363

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2014-1
b. LEI (if any) of issuer. (1)
549300V5D1W52HY8NO65
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
d. CUSIP (if any).
76716XAA0
At least one of the following other identifiers:
- ISIN
US76716XAA00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
459886.840000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
502773.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0705343

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-07-06
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 364

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2014-1
b. LEI (if any) of issuer. (1)
549300V5D1W52HY8NO65
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25
d. CUSIP (if any).
U76673AA7
At least one of the following other identifiers:
- ISIN
USU76673AA72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
958097.580000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1047444.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1469465

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-07-06
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 365

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2014-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75
d. CUSIP (if any).
76716XAB8
At least one of the following other identifiers:
- ISIN
US76716XAB82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
415335.250000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
486268.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0682188

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.
2027-01-06
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 366

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2018-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2
d. CUSIP (if any).
76716XAC6
At least one of the following other identifiers:
- ISIN
US76716XAC65

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
231950.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
264475.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0371033

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-06
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 367

Item C.1. Identification of investment.

a. Name of issuer (if any).
ROLLS-ROYCE PLC
b. LEI (if any) of issuer. (1)
X57JK1U580XATGR67572
c. Title of the issue or description of the investment.
ROLLS ROYCE PLC COMPANY GUAR 144A 10/25 3.625
d. CUSIP (if any).
77578JAB4
At least one of the following other identifiers:
- ISIN
US77578JAB44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1533750.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2151704

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-10-14
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 368

Item C.1. Identification of investment.

a. Name of issuer (if any).
ROLLS-ROYCE PLC
b. LEI (if any) of issuer. (1)
X57JK1U580XATGR67572
c. Title of the issue or description of the investment.
ROLLS ROYCE PLC COMPANY GUAR REGS 10/27 5.75
d. CUSIP (if any).
ACI1S61G3
At least one of the following other identifiers:
- ISIN
XS2244321787

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
2591607.770000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.3635777

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.
2027-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 369

Item C.1. Identification of investment.

a. Name of issuer (if any).
RSA SECURITY (REDSTONE HOLDCO 2 LP)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REDSTONE HOLDCO 2 LP 2021 TERM LOAN
d. CUSIP (if any).
75774EAG0
At least one of the following other identifiers:
- ISIN
US75774EAG08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3339317.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3237051.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4541272

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 370

Item C.1. Identification of investment.

a. Name of issuer (if any).
RZD CAPITAL PUBLIC LIMITED COMPANY
b. LEI (if any) of issuer. (1)
635400VKMH1VQDFMW392
c. Title of the issue or description of the investment.
RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487
d. CUSIP (if any).
B3SXQ5II3
At least one of the following other identifiers:
- ISIN
XS0609017917

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
2372043.660000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.3327750

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)
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.
2031-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.487
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 371

Item C.1. Identification of investment.

a. Name of issuer (if any).
SANDS CHINA LTD
b. LEI (if any) of issuer. (1)
549300EVO6UZDGY05787
c. Title of the issue or description of the investment.
SANDS CHINA LTD SR UNSECURED 08/28 5.4
d. CUSIP (if any).
80007RAE5
At least one of the following other identifiers:
- ISIN
US80007RAE53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5811000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6284596.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8816686

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-08
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 372

Item C.1. Identification of investment.

a. Name of issuer (if any).
SANTANDER UK GROUP HOLDINGS PLC
b. LEI (if any) of issuer. (1)
549300F5XIFGNNW4CF72
c. Title of the issue or description of the investment.
SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/99 VAR
d. CUSIP (if any).
ACI0TF455
At least one of the following other identifiers:
- ISIN
XS1592884123

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2025000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
3017097.580000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.4232698

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.
2024-06-24
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 373

Item C.1. Identification of investment.

a. Name of issuer (if any).
SASOL FINANCING LIMITED
b. LEI (if any) of issuer. (1)
378900A5BC68CC18C276
c. Title of the issue or description of the investment.
SASOL LTD REVOLVER
d. CUSIP (if any).
937HWVII0
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
5541269B0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4744674.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4576772.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6420773

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SOUTH AFRICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-11-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.6172
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 374

Item C.1. Identification of investment.

a. Name of issuer (if any).
ALLY FINANCIAL INC
b. LEI (if any) of issuer. (1)
549300JBN1OSM8YNAI90
c. Title of the issue or description of the investment.
ALLY FINANCIAL INC SR UNSECURED 11/31 8
d. CUSIP (if any).
370425RZ5
At least one of the following other identifiers:
- ISIN
US370425RZ53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
974000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1365523.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1915698

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 375

Item C.1. Identification of investment.

a. Name of issuer (if any).
SCHENCK PROCESS (PLATIN 1426 GMBH)
b. LEI (if any) of issuer. (1)
213800NMYXIGFN77O655
c. Title of the issue or description of the investment.
PLATIN 1426 GMBH SR SECURED 144A 06/23 6.875
d. CUSIP (if any).
BGGC6YII2
At least one of the following other identifiers:
- ISIN
XS1862512024

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
465289.950000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0652757

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)
GERMANY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 376

Item C.1. Identification of investment.

a. Name of issuer (if any).
ALTICE FINANCING SA
b. LEI (if any) of issuer. (1)
549300DIYGW8HVDF7Q17
c. Title of the issue or description of the investment.
ALTICE FINANCING SA 08/29 4.25
d. CUSIP (if any).
ACI1ZNKP7
At least one of the following other identifiers:
- ISIN
XS2373430854

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1979000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
2249015.460000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.3155153

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 377

Item C.1. Identification of investment.

a. Name of issuer (if any).
SEQUA MEZZANINE HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SEQUA MEZZANINE HOLDINGS LLC 2020 2ND LIEN TERM LOAN
d. CUSIP (if any).
81733HAF3
At least one of the following other identifiers:
- ISIN
US81733HAF38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
93824.020000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
93824.020000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0131626

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-04-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 378

Item C.1. Identification of investment.

a. Name of issuer (if any).
ALTICE FINANCING SA
b. LEI (if any) of issuer. (1)
549300DIYGW8HVDF7Q17
c. Title of the issue or description of the investment.
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
d. CUSIP (if any).
02154CAH6
At least one of the following other identifiers:
- ISIN
US02154CAH60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4629000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4559565.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6396632

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 379

Item C.1. Identification of investment.

a. Name of issuer (if any).
SKYMILES IP LTD
b. LEI (if any) of issuer. (1)
2549008L7P4I8VB90936
c. Title of the issue or description of the investment.
SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B
d. CUSIP (if any).
24736CBS2
At least one of the following other identifiers:
- ISIN
US24736CBS26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
426424.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0598233

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 380

Item C.1. Identification of investment.

a. Name of issuer (if any).
SLM STUDENT LOAN TRUST 2013-M1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A
d. CUSIP (if any).
78447T103
At least one of the following other identifiers:
- ISIN
US78447T1034

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1445.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1363813.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1913300

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 381

Item C.1. Identification of investment.

a. Name of issuer (if any).
SLM STUDENT LOAN TRUST-2007-4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SLM STUDENT LOAN TRUST SLMA 2007 4 R
d. CUSIP (if any).
78444A107
At least one of the following other identifiers:
- ISIN
US78444A1079

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1907163.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2675567

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 382

Item C.1. Identification of investment.

a. Name of issuer (if any).
SLOVENIA BROADBAND SARL (UNITED GROUP BV)
b. LEI (if any) of issuer. (1)
213800PC85O8BJ7DU398
c. Title of the issue or description of the investment.
UNITED GROUP BV SR SECURED REGS 07/24 4.875
d. CUSIP (if any).
ACI0W96J3
At least one of the following other identifiers:
- ISIN
XS1647815775

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
117041.750000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.0164198

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.
2024-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 383

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
d. CUSIP (if any).
78448P100
At least one of the following other identifiers:
- ISIN
US78448P1003

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
392934.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0551249

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 384

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB PRIVATE EDUCATION LOAN TRUST 2015-C
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A
d. CUSIP (if any).
78448R106
At least one of the following other identifiers:
- ISIN
US78448R1068

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1318.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
527200.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0739611

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.
2046-09-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 385

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOCIETE GENERALE SA
b. LEI (if any) of issuer. (1)
O2RNE8IBXP4R0TD8PU41
c. Title of the issue or description of the investment.
SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR
d. CUSIP (if any).
83367TBU2
At least one of the following other identifiers:
- ISIN
US83367TBU25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
223500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0313549

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 386

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOCIETE GENERALE SA
b. LEI (if any) of issuer. (1)
O2RNE8IBXP4R0TD8PU41
c. Title of the issue or description of the investment.
SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR
d. CUSIP (if any).
83367TBV0
At least one of the following other identifiers:
- ISIN
US83367TBV08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
646167.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0906510

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-10-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 387

Item C.1. Identification of investment.

a. Name of issuer (if any).
BRIGHTHOUSE HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR
d. CUSIP (if any).
10924BAA5
At least one of the following other identifiers:
- ISIN
US10924BAA52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
70000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
63309.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0088817

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 388

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A
d. CUSIP (if any).
83403Y104
At least one of the following other identifiers:
- ISIN
US83403Y1047

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
597436.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0838146

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.
2040-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 389

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A
d. CUSIP (if any).
83405D108
At least one of the following other identifiers:
- ISIN
US83405D1081

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21400.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
370862.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0520284

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.
2040-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 390

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A
d. CUSIP (if any).
78471C109
At least one of the following other identifiers:
- ISIN
US78471C1099

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1758000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
368301.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0516691

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.
2040-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 391

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUND UNITED (DEI SALES INC)
b. LEI (if any) of issuer. (1)
5493000ZI2GDB6NYME53
c. Title of the issue or description of the investment.
DEI SALES INC 2021 TERM LOAN B
d. CUSIP (if any).
23319HAJ9
At least one of the following other identifiers:
- ISIN
US23319HAJ95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5068125.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5045951.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7078986

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 392

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH AFRICA GOVT
b. LEI (if any) of issuer. (1)
378900AAFB4F17004C49
c. Title of the issue or description of the investment.
REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/49 5.75
d. CUSIP (if any).
836205BB9
At least one of the following other identifiers:
- ISIN
US836205BB97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1147962.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1610480

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)
SOUTH AFRICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 393

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH COAST FUNDING 3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUTH COAST FUNDING SCF 3A A1A 144A
d. CUSIP (if any).
83743SAN6
At least one of the following other identifiers:
- ISIN
US83743SAN62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11696499.880000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1493502.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2095241

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-08-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.72838
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 394

Item C.1. Identification of investment.

a. Name of issuer (if any).
SPIRIT AEROSYSTEMS INC
b. LEI (if any) of issuer. (1)
ZD2NBKV6GCC3UMGBM518
c. Title of the issue or description of the investment.
SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95
d. CUSIP (if any).
85205TAJ9
At least one of the following other identifiers:
- ISIN
US85205TAJ97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3142000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3191015.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4476688

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.
2023-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.95
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 395

Item C.1. Identification of investment.

a. Name of issuer (if any).
SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR
d. CUSIP (if any).
00846NAA5
At least one of the following other identifiers:
- ISIN
US00846NAA54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1062887.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1491129

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2067-01-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.87375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 396

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2005-23
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1
d. CUSIP (if any).
863579L48
At least one of the following other identifiers:
- ISIN
US863579L482

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1571249.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1119432.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1570456

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.93324
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 397

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2006-10
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1
d. CUSIP (if any).
86361QAD6
At least one of the following other identifiers:
- ISIN
US86361QAD60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1305045.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1264822.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1774425

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.
2.9463
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 398

Item C.1. Identification of investment.

a. Name of issuer (if any).
STUBHUB (PUG LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PUG LLC USD TERM LOAN
d. CUSIP (if any).
74530DAC9
At least one of the following other identifiers:
- ISIN
US74530DAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5548706.860000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5455072.430000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7652943

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.587
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 399

Item C.1. Identification of investment.

a. Name of issuer (if any).
STUDIO CITY FINANCE LIMITED
b. LEI (if any) of issuer. (1)
254900D6R731QAUIG324
c. Title of the issue or description of the investment.
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/28 6.5
d. CUSIP (if any).
86389QAF9
At least one of the following other identifiers:
- ISIN
US86389QAF90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2022394.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2837225

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)
VIRGIN ISLANDS (BRITISH)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level 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.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 400

Item C.1. Identification of investment.

a. Name of issuer (if any).
STUDIO CITY FINANCE LIMITED
b. LEI (if any) of issuer. (1)
254900D6R731QAUIG324
c. Title of the issue or description of the investment.
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 07/25 6
d. CUSIP (if any).
86389QAE2
At least one of the following other identifiers:
- ISIN
US86389QAE26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2041557.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2864108

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)
VIRGIN ISLANDS (BRITISH)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 401

Item C.1. Identification of investment.

a. Name of issuer (if any).
SUNTRUST ADJR MRTG LN TR 2007-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1
d. CUSIP (if any).
78473NAC7
At least one of the following other identifiers:
- ISIN
US78473NAC74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
123476.100000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
115755.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0162395

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.35513
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 402

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE HOLDINGS INC
b. LEI (if any) of issuer. (1)
549300CYZBHMZC8VLL59
c. Title of the issue or description of the investment.
SYNIVERSE HLDGS INC FIRST LIEN TERM LOAN B
d. CUSIP (if any).
87164GAM5
At least one of the following other identifiers:
- ISIN
US87164GAM50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14853505.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14864155.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.0852983

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-03-09
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 403

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE HOLDINGS INC
b. LEI (if any) of issuer. (1)
549300CYZBHMZC8VLL59
c. Title of the issue or description of the investment.
SYNIVERSE HLDGS INC SECOND LIEN TERM LOAN
d. CUSIP (if any).
87164GAN3
At least one of the following other identifiers:
- ISIN
US87164GAN34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1584000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1585980.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2224978

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-03-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 404

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE HOLDINGS INC
b. LEI (if any) of issuer. (1)
549300CYZBHMZC8VLL59
c. Title of the issue or description of the investment.
SYNIVERSE HOLDINGS INC 2021 BRIDGE TERM LOAN
d. CUSIP (if any).
943ZZEII7
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL26309A3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
17131000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
17114594.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.4010133

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-10-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 405

Item C.1. Identification of investment.

a. Name of issuer (if any).
TABERNA PREFERRED FUNDING LTD 2005-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TABERNA PREFERED FUNDING LTD TBRNA 2005 1A A1A 144A
d. CUSIP (if any).
87330PAA0
At least one of the following other identifiers:
- ISIN
US87330PAA03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1701978.140000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1540290.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2160879

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.60313
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 406

Item C.1. Identification of investment.

a. Name of issuer (if any).
TABERNA PREFERRED FUNDING LTD 2006-5A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A
d. CUSIP (if any).
87331BAA0
At least one of the following other identifiers:
- ISIN
US87331BAA08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
293296.210000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
259567.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0364148

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.50138
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 407

Item C.1. Identification of investment.

a. Name of issuer (if any).
TABERNA PREFERRED FUNDING LTD 2006-5A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A
d. CUSIP (if any).
87331BAB8
At least one of the following other identifiers:
- ISIN
US87331BAB80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5792599.930000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5126450.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7191919

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.50138
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 408

Item C.1. Identification of investment.

a. Name of issuer (if any).
TABERNA PREFERRED FUNDING LTD 2006-6A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1 144A
d. CUSIP (if any).
87331AAA2
At least one of the following other identifiers:
- ISIN
US87331AAA25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3985510.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3487321.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4892378

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.48138
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 409

Item C.1. Identification of investment.

a. Name of issuer (if any).
TABERNA PREFERRED FUNDING LTD 2006-6A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1BF 144A
d. CUSIP (if any).
87331AAB0
At least one of the following other identifiers:
- ISIN
US87331AAB08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
738057.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
645800.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0905996

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.48138
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 410

Item C.1. Identification of investment.

a. Name of issuer (if any).
TEAM HEALTH HOLDINGS INC
b. LEI (if any) of issuer. (1)
549300PVTQ4UDTTMQT11
c. Title of the issue or description of the investment.
TEAM HEALTH INC DEL TERM LOAN B
d. CUSIP (if any).
87817JAE8
At least one of the following other identifiers:
- ISIN
US87817JAE82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9767209.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9325242.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3082421

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-02-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 411

Item C.1. Identification of investment.

a. Name of issuer (if any).
TESCO PROPERTY FIN 2 PLC
b. LEI (if any) of issuer. (1)
2138008F9VZUZWUBZD27
c. Title of the issue or description of the investment.
TESCO PROPERTY FIN 2 PLC SR SECURED REGS 10/39 6.0517
d. CUSIP (if any).
B41QB0II2
At least one of the following other identifiers:
- ISIN
XS0347919028

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2206558.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
3939713.110000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.5527039

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.
2039-10-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.0517
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 412

Item C.1. Identification of investment.

a. Name of issuer (if any).
TESCO PROPERTY FINANCE 6 PLC
b. LEI (if any) of issuer. (1)
213800FORYFOB97FHO66
c. Title of the issue or description of the investment.
TESCO PROPERTY FIN 6 PLC SR SECURED REGS 07/44 5.4111
d. CUSIP (if any).
B9JST3II3
At least one of the following other identifiers:
- ISIN
XS0883200262

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
612778.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1081221.620000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.1516850

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.
2044-07-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.4111
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 413

Item C.1. Identification of investment.

a. Name of issuer (if any).
TEVA PHARMACEUTICAL FINANCE IV BV
b. LEI (if any) of issuer. (1)
549300P1YOE2RRPSGG38
c. Title of the issue or description of the investment.
TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
d. CUSIP (if any).
88166JAA1
At least one of the following other identifiers:
- ISIN
US88166JAA16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1913000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1918040.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2690827

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)
CURACAO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-11-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.65
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 414

Item C.1. Identification of investment.

a. Name of issuer (if any).
THYSSENKRUPP ELEVATOR (VERTICAL MIDCO GMBH)
b. LEI (if any) of issuer. (1)
254900K869UN2ZWVB351
c. Title of the issue or description of the investment.
TK ELEVATOR TOPCO GMBH EUR TERM LOAN B
d. CUSIP (if any).
D9000BAE2
At least one of the following other identifiers:
- ISIN
XAD9000BAE20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
4834462.900000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.6782287

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
GERMANY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-07-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 415

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOBACCO SETTLEMENT FINANCE AUTHORITY
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
d. CUSIP (if any).
88880LAB9
At least one of the following other identifiers:
- ISIN
US88880LAB99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
45700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4855615.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6811963

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-06-01
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 416

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOBACCO SETTLEMENT FING CORP VA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOBACCO SETTLEMENT FING CORP V TOBGEN 06/46 FIXED OID 6.706
d. CUSIP (if any).
88880NAT6
At least one of the following other identifiers:
- ISIN
US88880NAT63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
785000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
821032.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1151830

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.706
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 417

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOPAZ SOLAR FARMS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
d. CUSIP (if any).
89054XAD7
At least one of the following other identifiers:
- ISIN
US89054XAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2019816.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2282755.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3202487

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 418

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOPAZ SOLAR FARMS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
d. CUSIP (if any).
89054XAC9
At least one of the following other identifiers:
- ISIN
US89054XAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11837117.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14392210.550000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.0190890

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 419

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRANSOCEAN INC
b. LEI (if any) of issuer. (1)
DOL4HJ22ADYSIWES4H94
c. Title of the issue or description of the investment.
TRANSOCEAN INC COMPANY GUAR 144A 01/26 7.5
d. CUSIP (if any).
893830BF5
At least one of the following other identifiers:
- ISIN
US893830BF55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
69000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
55640.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0078058

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 420

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRANSOCEAN INC
b. LEI (if any) of issuer. (1)
DOL4HJ22ADYSIWES4H94
c. Title of the issue or description of the investment.
TRANSOCEAN INC COMPANY GUAR 144A 02/27 8
d. CUSIP (if any).
893830BL2
At least one of the following other identifiers:
- ISIN
US893830BL24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
134000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
102526.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0143835

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 421

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRANSOCEAN INC
b. LEI (if any) of issuer. (1)
DOL4HJ22ADYSIWES4H94
c. Title of the issue or description of the investment.
TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25
d. CUSIP (if any).
893830BK4
At least one of the following other identifiers:
- ISIN
US893830BK41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
74000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
61182.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0085834

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 422

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRANSOCEAN PONTUS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TRANSOCEAN PONTUS LTD SR SECURED 144A 08/25 6.125
d. CUSIP (if any).
89382PAA3
At least one of the following other identifiers:
- ISIN
US89382PAA30

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
101840.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
102237.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0143430

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 423

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRANSOCEAN POSEIDON LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TRANSOCEAN POSEIDON LTD SR SECURED 144A 02/27 6.875
d. CUSIP (if any).
89383JAA6
At least one of the following other identifiers:
- ISIN
US89383JAA60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3825000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3821213.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5360795

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 424

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRIUMPH GROUP INC
b. LEI (if any) of issuer. (1)
5493007L6S47Q14SL582
c. Title of the issue or description of the investment.
TRIUMPH GROUP INC SECURED 144A 09/24 6.25
d. CUSIP (if any).
896818AQ4
At least one of the following other identifiers:
- ISIN
US896818AQ45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
70000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
69979.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0098175

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.
2024-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 425

Item C.1. Identification of investment.

a. Name of issuer (if any).
UKRAINE GOVT
b. LEI (if any) of issuer. (1)
6354001WLTJXOMEXPY07
c. Title of the issue or description of the investment.
UKRAINE GOVERNMENT SR UNSECURED 144A 01/30 4.375
d. CUSIP (if any).
ACI1J9SD5
At least one of the following other identifiers:
- ISIN
XS2010033186

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1205000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1300770.290000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
0.1824856

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UKRAINE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 426

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNIGEL LUXEMBOURG SA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNIGEL LUXEMBOURG SA COMPANY GUAR 144A 10/26 8.75
d. CUSIP (if any).
904752AB8
At least one of the following other identifiers:
- ISIN
US904752AB83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
425486.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0596916

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.
2026-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 427

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNIQUE PUB FINANCE CO PLC
b. LEI (if any) of issuer. (1)
213800FOMWLKHQTI5562
c. Title of the issue or description of the investment.
UNIQUE PUB FINANCE CO SR SECURED REGS 06/27 5.659
d. CUSIP (if any).
743541II7
At least one of the following other identifiers:
- ISIN
XS0154960537

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
420711.580000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
650411.060000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0912464

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.
2027-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.659
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 428

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED AIRLINES INC
b. LEI (if any) of issuer. (1)
K1OQBWM7XEOO08LDNP29
c. Title of the issue or description of the investment.
UNITED AIRLINES INC SR SECURED 144A 04/26 4.375
d. CUSIP (if any).
90932LAG2
At least one of the following other identifiers:
- ISIN
US90932LAG23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2175012.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3051333

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.
2026-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 429

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
CASH MGMT BILL 01/22 0.00000
d. CUSIP (if any).
912796Q69
At least one of the following other identifiers:
- ISIN
US912796Q698

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2055000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2054785.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2882666

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.
2022-01-11
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 430

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 01/22 0.00000
d. CUSIP (if any).
912796C31
At least one of the following other identifiers:
- ISIN
US912796C318

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1799771.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2524907

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.
2022-01-27
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 431

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 01/22 0.00000
d. CUSIP (if any).
912796K73
At least one of the following other identifiers:
- ISIN
US912796K733

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
674000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
673921.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0945448

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.
2022-01-13
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 432

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 02/22 0.00000
d. CUSIP (if any).
912796L80
At least one of the following other identifiers:
- ISIN
US912796L806

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3076000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3075550.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4314702

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.
2022-02-17
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 433

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 04/22 0.00000
d. CUSIP (if any).
912796G45
At least one of the following other identifiers:
- ISIN
US912796G459

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6198306.590000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8695629

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.
2022-04-21
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 434

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 04/22 0.00000
d. CUSIP (if any).
912796P29
At least one of the following other identifiers:
- ISIN
US912796P294

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
21494490.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.0154707

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.
2022-04-14
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 435

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 11/21 0.00000
d. CUSIP (if any).
9127964W6
At least one of the following other identifiers:
- ISIN
US9127964W63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5799985.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8136823

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.
2021-11-04
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 436

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 11/21 0.00000
d. CUSIP (if any).
912796N70
At least one of the following other identifiers:
- ISIN
US912796N703

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9699688.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3607732

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.
2021-11-23
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 437

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
d. CUSIP (if any).
91327AAB8
At least one of the following other identifiers:
- ISIN
US91327AAB89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6865000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6789416.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9524899

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 438

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875
d. CUSIP (if any).
91327AAA0
At least one of the following other identifiers:
- ISIN
US91327AAA07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14880000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15667896.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.1980554

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.
2025-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 439

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNIVISION COMMUNICATIONS INC
b. LEI (if any) of issuer. (1)
549300YQDE2JSGTL8V47
c. Title of the issue or description of the investment.
UNIVISION COMMUNICATIONS 2017 REPLACEMENT REPRICED NEW
d. CUSIP (if any).
914908AX6
At least one of the following other identifiers:
- ISIN
US914908AX63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3715010.900000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3715341.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5212268

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-03-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 440

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNIVISION COMMUNICATIONS INC
b. LEI (if any) of issuer. (1)
549300YQDE2JSGTL8V47
c. Title of the issue or description of the investment.
UNIVISION COMMUNICATIONS SR SECURED 144A 02/25 5.125
d. CUSIP (if any).
914906AS1
At least one of the following other identifiers:
- ISIN
US914906AS13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
571000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
580278.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0814075

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.
2025-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 441

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
US RENAL CARE INC 2021 TERM LOAN B
d. CUSIP (if any).
90290PAQ7
At least one of the following other identifiers:
- ISIN
US90290PAQ72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4274466.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5996666

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 442

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
US RENAL CARE INC SR UNSECURED 144A 07/27 10.625
d. CUSIP (if any).
07335BAA4
At least one of the following other identifiers:
- ISIN
US07335BAA44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
69000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
71654.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0100525

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 443

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD SR SECURED 04/28 8.25
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
USG9460GAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1117000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1164628.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1633863

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 444

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD SR SECURED 144A 04/28 8.25
d. CUSIP (if any).
91889FAA9
At least one of the following other identifiers:
- ISIN
US91889FAA93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14596.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0020478

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 445

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALE OVERSEAS LTD
b. LEI (if any) of issuer. (1)
254900BA3U6G5DNV5V04
c. Title of the issue or description of the investment.
VALE OVERSEAS LIMITED COMPANY GUAR 11/36 6.875
d. CUSIP (if any).
91911TAH6
At least one of the following other identifiers:
- ISIN
US91911TAH68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
53000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
69367.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0097317

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 446

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALE OVERSEAS LTD
b. LEI (if any) of issuer. (1)
254900BA3U6G5DNV5V04
c. Title of the issue or description of the investment.
VALE OVERSEAS LIMITED COMPANY GUAR 11/39 6.875
d. CUSIP (if any).
91911TAK9
At least one of the following other identifiers:
- ISIN
US91911TAK97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
41000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
54089.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0075882

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-11-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 447

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALE SA
b. LEI (if any) of issuer. (1)
254900SMTWBX7RU2SR20
c. Title of the issue or description of the investment.
VALE SA SUBORDINATED 12/49 VAR
d. CUSIP (if any).
B011X9II2
At least one of the following other identifiers:
- ISIN
BRVALEDBS028

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
110000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
10428677.490000
f. Exchange rate.
5.643800
g. Percentage value compared to net assets of the Fund.
1.4630433

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-29
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.76247
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 448

Item C.1. Identification of investment.

a. Name of issuer (if any).
VENEZUELAN GOVT
b. LEI (if any) of issuer. (1)
529900XM8PJTJK5OJI77
c. Title of the issue or description of the investment.
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
d. CUSIP (if any).
922646AS3
At least one of the following other identifiers:
- ISIN
US922646AS37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
315000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
31122.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0043661

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VENEZUELA (BOLIVARIAN REPUBLIC OF)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 449

Item C.1. Identification of investment.

a. Name of issuer (if any).
VENEZUELAN GOVT
b. LEI (if any) of issuer. (1)
529900XM8PJTJK5OJI77
c. Title of the issue or description of the investment.
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
d. CUSIP (if any).
P97475AP5
At least one of the following other identifiers:
- ISIN
USP97475AP55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
28000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2836.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0003979

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VENEZUELA (BOLIVARIAN REPUBLIC OF)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-10-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 450

Item C.1. Identification of investment.

a. Name of issuer (if any).
VERITAS US INC / VERITAS BERMUDA LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5
d. CUSIP (if any).
92346LAE3
At least one of the following other identifiers:
- ISIN
US92346LAE39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1123000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1165112.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1634541

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 451

Item C.1. Identification of investment.

a. Name of issuer (if any).
VERTIV GROUP CORPORATION
b. LEI (if any) of issuer. (1)
549300ZT8RQ5VK10E643
c. Title of the issue or description of the investment.
VERTIV GROUP CORPORATION SR SECURED 144A 11/28 4.125
d. CUSIP (if any).
92535UAB0
At least one of the following other identifiers:
- ISIN
US92535UAB08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1693625.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2375993

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 452

Item C.1. Identification of investment.

a. Name of issuer (if any).
VIKING CRUISES LTD
b. LEI (if any) of issuer. (1)
549300IJP90T4MV2GL84
c. Title of the issue or description of the investment.
VIKING CRUISES LTD SR SECURED 144A 05/25 13
d. CUSIP (if any).
92676XAE7
At least one of the following other identifiers:
- ISIN
US92676XAE76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6375000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7307343.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0251502

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 453

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOC ESCROW LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VOC ESCROW LTD SR SECURED 144A 02/28 5
d. CUSIP (if any).
91832VAA2
At least one of the following other identifiers:
- ISIN
US91832VAA26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2186250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3067099

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 454

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOYAGER AVIATION HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300KHOKL1CX4NIJ92
c. Title of the issue or description of the investment.
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
d. CUSIP (if any).
92918XAA3
At least one of the following other identifiers:
- ISIN
US92918XAA37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8297000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7624943.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0697063

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 455

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU MTGE P/T CERT 2007-HY1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2
d. CUSIP (if any).
92925VAJ9
At least one of the following other identifiers:
- ISIN
US92925VAJ98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
324109.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
323272.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0453520

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.06011
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 456

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU MTGE P/T CERT 2007-HY5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1
d. CUSIP (if any).
92990GAJ2
At least one of the following other identifiers:
- ISIN
US92990GAJ22

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600891.210000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
603573.950000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0846756

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.88007
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 457

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU MTGE P/T CERT 2007-HY7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1
d. CUSIP (if any).
93364FAL5
At least one of the following other identifiers:
- ISIN
US93364FAL58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
558289.240000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
568087.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0796972

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.13981
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 458

Item C.1. Identification of investment.

a. Name of issuer (if any).
WASHINGTON MUTUAL 2006-AR12
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3
d. CUSIP (if any).
93363NAM7
At least one of the following other identifiers:
- ISIN
US93363NAM74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
450833.010000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
442218.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0620391

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.
2036-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.17614
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 459

Item C.1. Identification of investment.

a. Name of issuer (if any).
APIDOS CDO 2014-18A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
APIDOS CLO APID 2014 18A SUB 144A
d. CUSIP (if any).
03765EAE8
At least one of the following other identifiers:
- ISIN
US03765EAE86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
525.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000737

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 460

Item C.1. Identification of investment.

a. Name of issuer (if any).
APIDOS CLO 2017-28A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
APIDOS CLO APID 2017 28A SUB 144A
d. CUSIP (if any).
03766YAB9
At least one of the following other identifiers:
- ISIN
US03766YAB92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2560841.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3592615

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-01-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 461

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESCO AIRCRAFT HOLDINGS INC
b. LEI (if any) of issuer. (1)
529900P5VTXZS191P208
c. Title of the issue or description of the investment.
WOLVERINE ESCROW LLC SR SECURED 144A 11/24 8.5
d. CUSIP (if any).
97789LAC0
At least one of the following other identifiers:
- ISIN
US97789LAC00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11846000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11006829.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.5441525

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.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 462

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESCO AIRCRAFT HOLDINGS INC
b. LEI (if any) of issuer. (1)
529900P5VTXZS191P208
c. Title of the issue or description of the investment.
WOLVERINE ESCROW LLC SR SECURED 144A 11/26 9
d. CUSIP (if any).
97789LAB2
At least one of the following other identifiers:
- ISIN
US97789LAB27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6164000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5681420.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7970488

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 463

Item C.1. Identification of investment.

a. Name of issuer (if any).
APOLLO COMMERCIAL REAL ESTATE FINANCE INC
b. LEI (if any) of issuer. (1)
549300E0AN7M2AQHSY29
c. Title of the issue or description of the investment.
APOLLO CMMRL REAL EST FI SR SECURED 144A 06/29 4.625
d. CUSIP (if any).
03762UAD7
At least one of the following other identifiers:
- ISIN
US03762UAD72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4626000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6489834

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 464

Item C.1. Identification of investment.

a. Name of issuer (if any).
WEST MARINE (RISING TIDE HOLDINGS INC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RISING TIDE HOLDINGS INC TERM LOAN
d. CUSIP (if any).
76770EAB3
At least one of the following other identifiers:
- ISIN
US76770EAB39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1097250.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1099535.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1542543

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-06-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 465

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTMORELAND MINING HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WESTMORELAND COAL CO PIK TERM LOAN
d. CUSIP (if any).
96106JAE9
At least one of the following other identifiers:
- ISIN
US96106JAE91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4516852.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1355055.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1901013

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 466

Item C.1. Identification of investment.

a. Name of issuer (if any).
WINDSTREAM SERVICES II LLC
b. LEI (if any) of issuer. (1)
549300KT9GVEBYCD2N29
c. Title of the issue or description of the investment.
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
d. CUSIP (if any).
97381JAE3
At least one of the following other identifiers:
- ISIN
US97381JAE38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2813208.760000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2829736.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3969848

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-21
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 467

Item C.1. Identification of investment.

a. Name of issuer (if any).
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
b. LEI (if any) of issuer. (1)
549300L3SXBFJVGRCF66
c. Title of the issue or description of the investment.
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
d. CUSIP (if any).
97382WAA1
At least one of the following other identifiers:
- ISIN
US97382WAA18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8528000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9030981.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2669600

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 468

Item C.1. Identification of investment.

a. Name of issuer (if any).
WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 03/25 5.5
d. CUSIP (if any).
983130AV7
At least one of the following other identifiers:
- ISIN
US983130AV78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3868875.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5427660

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.
2025-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 469

Item C.1. Identification of investment.

a. Name of issuer (if any).
WYNN MACAU LIMITED
b. LEI (if any) of issuer. (1)
254900NMDQ8ENTHU1I31
c. Title of the issue or description of the investment.
WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5
d. CUSIP (if any).
98313RAG1
At least one of the following other identifiers:
- ISIN
US98313RAG11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1507024.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2114210

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 470

Item C.1. Identification of investment.

a. Name of issuer (if any).
WYNN MACAU LIMITED
b. LEI (if any) of issuer. (1)
254900NMDQ8ENTHU1I31
c. Title of the issue or description of the investment.
WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625
d. CUSIP (if any).
98313RAH9
At least one of the following other identifiers:
- ISIN
US98313RAH93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
935330.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1312178

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 471

Item C.1. Identification of investment.

a. Name of issuer (if any).
WYNN MACAU LIMITED
b. LEI (if any) of issuer. (1)
254900NMDQ8ENTHU1I31
c. Title of the issue or description of the investment.
WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125
d. CUSIP (if any).
98313RAE6
At least one of the following other identifiers:
- ISIN
US98313RAE62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
180586.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0253345

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 472

Item C.1. Identification of investment.

a. Name of issuer (if any).
YAHOO (AKA: AP CORE HOLDINGS II LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B
d. CUSIP (if any).
938QUEII9
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3619402
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
902000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
904818.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1269374

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 473

Item C.1. Identification of investment.

a. Name of issuer (if any).
YAHOO (AKA: AP CORE HOLDINGS II LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B
d. CUSIP (if any).
938QVBII4
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3669308
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6220000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6241384.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8756063

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 474

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2198680.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2199266.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3085360

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.4800000
e. Maturity date.
2022-01-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12200000.000000 United States Dollar 2473812.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 475

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-8959521.230000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-8972462.760000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.2587504

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-01-20
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#19096000.000000 United States Dollar 10115615.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 476

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4516568.880000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4517635.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6337809

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-01-24
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)
#14515000.000000 United States Dollar 4984876.350000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 477

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5552184.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5553819.530000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7791476

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5300000
e. Maturity date.
2022-05-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16105000.000000 United States Dollar 6360047.780000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 478

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PARIBAS REVERSE REPO GBP ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NVR002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4410823.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-6041200.310000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
-0.8475224

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.3300000
e. Maturity date.
2021-11-08
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)
#13523439.920000 United Kingdom Pound 4634024.790000 United Kingdom Pound Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 479

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-515380.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-515373.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0723019

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
-0.0700000
e. Maturity date.
2021-11-24
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)
#1508000.000000 United States Dollar 597636.370000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 480

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-741881.360000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-741854.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1040751

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
-0.0500000
e. Maturity date.
2023-10-04
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1100000000.000000 Argentina Peso 84529242.000000 Argentina Peso

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 481

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JPM CHASE REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NTU008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2076252.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-2399724.650000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.3366583

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
-0.3500000
e. Maturity date.
2022-01-17
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)
#12070000.000000 Euro Member Countries 2238864.390000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 482

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HSBC REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
643996002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11800000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6554267

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC SECURITIES (USA) INC.CYYGQCGNHMHPSMRL3R97

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.0400000
e. Maturity date.
2021-11-01
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)
#112178100.000000 United States Dollar 12180234.940000 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: 483

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JPM CHASE REVERSE REPO GBP ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NVG006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-192866.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-263980.020000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
-0.0370339

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.3500000
e. Maturity date.
2022-01-18
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)
#1200000.000000 United Kingdom Pound 216459.600000 United Kingdom Pound Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 484

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BANK OF AMERICA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLA004
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4344872.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4345524.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6096353

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOFA SECURITIES, INC.549300HN4UKV1E2R3U73

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2700000
e. Maturity date.
2022-01-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14100000.000000 United States Dollar 4559905.280000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 485

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CIBC
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
923XCN009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2320584.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2320944.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3256063

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Canadian Imperial Bank of Commerce2IGI19DL77OX0HC3ZE78

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2800000
e. Maturity date.
2021-11-15
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)
#12181000.000000 United States Dollar 2358751.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 486

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1316182.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1316241.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1846561

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK1VUV7VQFKUOQSJ21A208

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5400000
e. Maturity date.
2022-01-24
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)
#11463000.000000 United States Dollar 1598327.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 487

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-521791.930000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-521815.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0732057

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5400000
e. Maturity date.
2022-01-24
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)
#1600000.000000 United States Dollar 646167.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 488

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-7136400.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-7138838.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.0015105

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.3000000
e. Maturity date.
2022-01-26
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)
#16400000.000000 United States Dollar 7117900.930000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 489

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-8768253.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-8771526.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.2305610

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.4200000
e. Maturity date.
2022-01-26
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)
#18174243.000000 United States Dollar 9938689.150000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 490

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5682694.560000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5685037.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7975561

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2800000
e. Maturity date.
2022-03-09
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)
#15786000.000000 United States Dollar 6134477.300000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 491

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
923TKQ002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-13143604.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-13155378.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.8455733

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CREDIT AGRICOLE SECURITIES (USA) INC.549300WO2DKF0Q3YMV43

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.3000000
e. Maturity date.
2022-03-09
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)
#114005500.000000 United States Dollar 14834251.320000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 492

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3966352.130000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3967274.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5565705

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2700000
e. Maturity date.
2022-01-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13879000.000000 United States Dollar 4139096.420000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 493

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-16147761.570000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-16150341.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.2657378

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2700000
e. Maturity date.
2022-01-27
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)
#115000000.000000 United States Dollar 16825918.890000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 494

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6174264.850000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6175122.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8663104

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-02-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16510000.000000 United States Dollar 7024358.630000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 495

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1952868.740000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1952975.060000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2739837

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.4900000
e. Maturity date.
2022-03-23
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)
#12000000.000000 United States Dollar 2135000.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 496

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-311880.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-311928.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0437606

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2800000
e. Maturity date.
2021-11-15
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)
#1300000.000000 United States Dollar 335266.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 497

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1543845.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1544308.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2166516

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2700000
e. Maturity date.
2022-01-20
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11550000.000000 United States Dollar 1599119.420000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 498

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3243281.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3243281.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4550012

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5500000
e. Maturity date.
2021-11-01
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)
#13700000.000000 United States Dollar 3695393.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 499

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4768900.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4769047.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6690516

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.3700000
e. Maturity date.
2021-11-19
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)
#15617000.000000 United States Dollar 5556370.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 500

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-7826660.670000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-7835432.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.0992359

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-01-21
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#18649000.000000 United States Dollar 8983112.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 501

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3118852.960000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3119569.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4376456

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.4000000
e. Maturity date.
2022-03-01
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)
#12615000.000000 United States Dollar 3332249.350000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 502

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-506487.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-507276.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0711660

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5500000
e. Maturity date.
2022-03-02
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1571000.000000 United States Dollar 580278.750000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 503

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3795255.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3797047.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5326893

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-03-28
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13845000.000000 United States Dollar 4421942.250000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 504

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-974521.040000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-974602.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1367273

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-04-01
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11200000.000000 United States Dollar 1147962.000000 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: 505

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4071364.840000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4071571.020000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5712023

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-04-19
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)
#14654000.000000 United States Dollar 4769507.040000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 506

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-17397938.370000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-17405849.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.4418736

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5500000
e. Maturity date.
2022-04-27
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)
#120305000.000000 United States Dollar 20310413.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 507

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2998720.310000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3000873.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4209938

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5500000
e. Maturity date.
2022-05-04
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13300000.000000 United States Dollar 3474735.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 508

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO TORONTO DOMINIO
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
913ZMA003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-916595.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-917861.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1287672

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2500000
e. Maturity date.
2023-04-16
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1770070.190000 United States Dollar 961066.560000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 509

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO TORONTO DOMINIO
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
913ZMA003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-389623.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-389823.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0546885

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2200000
e. Maturity date.
2023-08-09
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1392000.000000 United States Dollar 434439.540000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 510

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO TORONTO DOMINIO
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
913ZMA003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-630373.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-630486.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0884513

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.2200000
e. Maturity date.
2023-09-30
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1586000.000000 United States Dollar 641142.590000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 511

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1858483.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1859040.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2608055

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.4000000
e. Maturity date.
2021-11-08
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)
#12019816.000000 United States Dollar 2282755.950000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 512

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-336167.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-336527.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0472116

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-01-18
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)
#1400000.000000 United States Dollar 387410.680000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 513

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-7121875.220000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-7127871.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.9999720

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-02-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#17230483.000000 United States Dollar 8050251.280000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 514

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-690837.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-691403.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0969973

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-03-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1800000.000000 United States Dollar 796250.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 515

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6862783.130000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6868406.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.9635715

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BARCLAYS BANK PLCG5GSEF7VJP5I7OUK5573

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-03-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#17590000.000000 United States Dollar 7808212.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 516

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-13165523.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-13172140.530000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.8479249

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-03-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#114327841.850000 United States Dollar 14643636.480000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 517

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-15016158.150000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-15025159.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.1078857

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5500000
e. Maturity date.
2022-03-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#116851000.000000 United States Dollar 17561796.300000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 518

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3350943.760000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3352712.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4703534

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-03-21
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13800000.000000 United States Dollar 3868875.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 519

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5259481.250000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5262257.090000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7382442

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNY MELLON CAPITAL MARKETS, LLCVJW2DOOHGDT6PR0ZRO63

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-03-24
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)
#15900000.000000 United States Dollar 5978597.850000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 520

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2781992.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2786436.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3909102

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-01-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12918000.000000 United States Dollar 3038367.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 521

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1109595.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1110504.580000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1557931

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-02-11
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)
#11337000.000000 United States Dollar 1345382.990000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 522

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4398456.100000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4400074.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.6172883

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5300000
e. Maturity date.
2022-05-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#15404000.000000 United States Dollar 4980920.840000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 523

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO REGIONS BANK REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2146481.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2146674.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3011578

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1REGIONS BANKEQTWLK1G7ODGC2MGLV11

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5400000
e. Maturity date.
2022-03-08
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)
#12567000.000000 United States Dollar 2530612.770000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 524

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO THE BANK OF NOVA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973VSR006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-9742856.640000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-9755880.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.3686563

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SCOTIA CAPITAL (USA) INC.549300BLWPABP1VNME36

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.5000000
e. Maturity date.
2022-01-26
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)
#110700000.000000 United States Dollar 10934530.370000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 525

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO THE BANK OF NOVA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973VSR006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-17488857.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-17547582.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.4617574

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SCOTIA CAPITAL (USA) INC.549300BLWPABP1VNME36

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
0.6500000
e. Maturity date.
2022-03-25
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)
#119501000.000000 United States Dollar 20800979.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 526

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENT SECURITIES INC. 2006-W2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ARGENT SECURITIES INC. ARSI 2006 W2 A2B
d. CUSIP (if any).
040104RV5
At least one of the following other identifiers:
- ISIN
US040104RV54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3321387.850000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2258738.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3168793

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.46925
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 527

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT MXN/SOLD 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
21JDKBB15HD
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
2609.730000
f. Exchange rate.
20.684600
g. Percentage value compared to net assets of the Fund.
0.0003661

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
266705.790000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
5570683.880000
Description of currency purchased.
Mexico Peso
iii. Settlement date.
2021-12-03
iv. Unrealized appreciation or depreciation. (24)
2609.730000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 528

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21HIKBB3D0V
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
154.350000
f. Exchange rate.
71.174900
g. Percentage value compared to net assets of the Fund.
0.0000217

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
2953.250000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
221183.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-11-22
iv. Unrealized appreciation or depreciation. (24)
154.350000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 529

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21IEKBCFHQ6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
525.440000
f. Exchange rate.
71.581400
g. Percentage value compared to net assets of the Fund.
0.0000737

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
12513.940000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
933377.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-12-20
iv. Unrealized appreciation or depreciation. (24)
525.440000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 530

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP/BOUGHT USD
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
21ITKBBX7HL
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-438036.750000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
-0.0614524

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
26795000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
36232279.390000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-438036.750000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 531

Item C.1. Identification of investment.

a. Name of issuer (if any).
CAYENNE AVIATION LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
d. CUSIP (if any).
942UCF900
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
AEP

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6929.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2191553.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3074540

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 532

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
d. CUSIP (if any).
ACI1QL1T4
At least one of the following other identifiers:
- ISIN
ARARGE3209S6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3626146.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1127983.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1582452

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 533

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN/BOUGHT USD
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
21IPKBB56WX
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-11147.560000
f. Exchange rate.
4.048000
g. Percentage value compared to net assets of the Fund.
-0.0015639

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
1482999.480000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
355209.460000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2022-06-27
iv. Unrealized appreciation or depreciation. (24)
-11147.560000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 534

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT RUB/SOLD 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
21HKKBB7NMQ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Russia Ruble
e. Value. (4)
981.320000
f. Exchange rate.
71.174900
g. Percentage value compared to net assets of the Fund.
0.0001377

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
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.

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
#1BARCLAYS BANK PLCG5GSEF7VJP5I7OUK5573

i. Amount and description of currency sold.
Amount of currency sold.
20055.650000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1497305.000000
Description of currency purchased.
Russia Ruble
iii. Settlement date.
2021-11-22
iv. Unrealized appreciation or depreciation. (24)
981.320000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 535

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
d. CUSIP (if any).
ACI1QL1M9
At least one of the following other identifiers:
- ISIN
ARARGE3209T4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3741000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1113064.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1561523

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 536

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR/SOLD USD
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
21JKKBBNTMD
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-5220.370000
f. Exchange rate.
0.865100
g. Percentage value compared to net assets of the Fund.
-0.0007324

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
1192432.240000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1027000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
-5220.370000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 537

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 10/26 15.5
d. CUSIP (if any).
ACI0QD081
At least one of the following other identifiers:
- ISIN
ARARGE4502K0

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
61630000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
131136.210000
f. Exchange rate.
180.910000
g. Percentage value compared to net assets of the Fund.
0.0183972

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-10-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 538

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
d. CUSIP (if any).
040114HU7
At least one of the following other identifiers:
- ISIN
US040114HU71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11605082.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4270670.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5991340

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-01-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 539

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
d. CUSIP (if any).
040114HX1
At least one of the following other identifiers:
- ISIN
US040114HX11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
682947.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
248251.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0348273

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 540

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CAD/BOUGHT USD
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
21JTKBBRK8H
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
977.510000
f. Exchange rate.
1.237600
g. Percentage value compared to net assets of the Fund.
0.0001371

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
1460000.000000
Description of currency sold.
Canada Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1180667.520000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-17
iv. Unrealized appreciation or depreciation. (24)
977.510000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 541

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP/BOUGHT USD
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
21JTKBBN7BT
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
2587.050000
f. Exchange rate.
0.730700
g. Percentage value compared to net assets of the Fund.
0.0003629

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
386000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
530847.620000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2021-11-02
iv. Unrealized appreciation or depreciation. (24)
2587.050000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 542

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
d. CUSIP (if any).
040114HS2
At least one of the following other identifiers:
- ISIN
US040114HS26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
390841.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
134840.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0189168

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 543

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
d. CUSIP (if any).
040114HT0
At least one of the following other identifiers:
- ISIN
US040114HT09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
299987.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
92845.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0130254

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 544

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOMBARDIER INC SNR S* ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0I7J0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
158806.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0222790

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
BOMBARDIER INC
Title of issue.
BOMBARDIER INC SR UNSEC REGS
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
USC10602AJ68
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2024-06-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-4474.920000
ISO Currency Code.
United States Dollar
iv. Notional amount.
2300000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
163281.400000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 545

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOMBARDIER INC SNR S* ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0IKN6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
113291.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0158937

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
BOMBARDIER INC
Title of issue.
BOMBARDIER INC SR UNSEC REGS
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
USC10602AJ68
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2024-12-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-6573.340000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1600000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
119864.560000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 546

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
d. CUSIP (if any).
040114HV5
At least one of the following other identifiers:
- ISIN
US040114HV54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5511585.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1901496.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2667618

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 547

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR
d. CUSIP (if any).
040114HW3
At least one of the following other identifiers:
- ISIN
US040114HW38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
114993.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
36510.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0051220

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.125
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 548

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA UNSECURED 10/22 VAR
d. CUSIP (if any).
P0761DAQ6
At least one of the following other identifiers:
- ISIN
ARARGE03G621

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
58000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
187.990000
f. Exchange rate.
180.910000
g. Percentage value compared to net assets of the Fund.
0.0000264

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-10-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
34.1187
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 549

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN/SOLD USD
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
21CCKBB739N
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-119614.430000
f. Exchange rate.
3.995800
g. Percentage value compared to net assets of the Fund.
-0.0167808

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1494132.870000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
5492283.030000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2021-12-09
iv. Unrealized appreciation or depreciation. (24)
-119614.430000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 550

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN/SOLD USD
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
21JFKBB60PZ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
24137.820000
f. Exchange rate.
4.003300
g. Percentage value compared to net assets of the Fund.
0.0033863

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1349346.780000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
5498453.190000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2022-01-18
iv. Unrealized appreciation or depreciation. (24)
24137.820000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 551

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN/SOLD USD
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
21JRKBCC517
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-895.920000
f. Exchange rate.
3.993300
g. Percentage value compared to net assets of the Fund.
-0.0001257

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
487198.440000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1941973.000000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2021-11-23
iv. Unrealized appreciation or depreciation. (24)
-895.920000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 552

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN/SOLD USD
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
21JTKBCCZV9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-1441.910000
f. Exchange rate.
3.994400
g. Percentage value compared to net assets of the Fund.
-0.0002023

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
315364.430000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1253920.510000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2021-11-30
iv. Unrealized appreciation or depreciation. (24)
-1441.910000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No

NPORT-P: Part E: Explanatory Notes (if any)

The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable.

Explanatory Note RecordNote ItemExplanatory Notes
#1B.2.fA negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D. This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f.
#2B.5.aTotal returns do not deduct sales loads and redemption fees.
#3C.11.c.viTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#4C.11.d.iiiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#5C.11.e.iiiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#6C.11.f.iiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#7C.5.aThe form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list. Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A.

NPORT-P: Additional notes

IdentifierNote
(1) LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(2) Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
(3) Currency. Indicate the currency in which the investment is denominated.
(4) Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
(5) Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item [C/D].11.
(6) Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other” provide a brief description.
(7) Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other” provide a brief description.
(8) Report the ISO country code that corresponds to the country where the issuer is organized.
(9) If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments.
(10) Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: Highly Liquid Investments, Moderately Liquid Investments, Less Liquid Investments, Illiquid Investments. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
(11) Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
(12) Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7 (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
(13) Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none).
(14) Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N]
(15) Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind.
(16) Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
(17) Conversion ratio per US$1000 notional, or, if bond currency is not in U.S. dollars, per 1000 units of the relevant currency, indicating the relevant currency. If there is more than one conversion ratio, provide each conversion ratio.
(18) Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral.
(19) If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated.
(20) Category of investments that most closely represents the collateral, selected from among the following (asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; private label collateralized mortgage obligations; corporate debt securities; equities; money market; U.S. Treasuries (including strips); other instrument). If "other instrument", include a brief description, including, if applicable, whether it is a collateralized debt obligation, municipal debt, whole loan, or international debt
(21) Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other).
(22) In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(23) Description and terms of payments necessary for a user of financial information to understand the terms of payments to be paid and received, including, as applicable, description of the reference instrument, obligation, or index, financing rate, floating coupon rate, fixed coupon rate, and payment frequency.
(24) Depreciation shall be reported as a negative number.
(25) If the reference instrument is a derivative, indicate the category of derivative from among the categories listed in sub-Item C.11.a. and provide all information required to be reported on this Form for that category.
(26) If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.

If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
(27) If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
(28) If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).

NPORT-P: Signatures

The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Registrant:
PIMCO Income Strategy Fund II
By (Signature):
/s/ Jason Nagler
Name:
Jason Nagler
Title:
Assistant Treasurer
Date:
2021-12-10


Documents