|
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P Monthly Portfolio Investments Report |
| Confidential | ☐ |
| Filer CIK | 0001227073 |
| Filer CCC | ******** |
| Filer Investment Company Type | |
| Is this a LIVE or TEST Filing? | ☐ LIVE ☐ TEST |
| Would you like a Return Copy? | ☐ |
| Is this an electronic copy of an official filing submitted in paper format? | ☐ |
| Name | |
| Phone | |
| E-Mail Address |
| Notify via Filing Website only? | ☐ |
| Notification E-mail Address | |
| Series ID |
| Class (Contract) ID |
| a. Name of Registrant | Allspring Multi-Sector Income Fund |
| b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-21331 |
| c. CIK number of Registrant | 0001227073 |
| d. LEI of Registrant | 549300K6JNPNZMSWMF07 |
| e. Address and telephone number of Registrant: |
| i. Street Address 1 | 525 Market St. |
| ii. Street Address 2 | |
| iii. City | San Francisco |
| iv. State, if applicable | |
| v. Foreign country, if applicable | |
| vi. Zip / Postal Code | 94105 |
| vii. Telephone number | 415-396-4184 |
| a. Name of Series. | Allspring Multi-Sector Income Fund |
| b. EDGAR series identifier (if any). | |
| c. LEI of Series. | 549300K6JNPNZMSWMF07 |
| a. Date of fiscal year-end. | 2021-10-31 |
| b. Date as of which information is reported. | 2021-10-31 |
| a. Does the Fund anticipate that this will be its final filing on Form N PORT? | ☐ Yes ☒ No |
| Report the following information for the Fund and its consolidated subsidiaries. |
| a. Total assets, including assets attributable to miscellaneous securities reported in Part D. | 502572721.630000000000 |
| b. Total liabilities. | 149625232.280000000000 |
| c. Net assets. | 352947489.350000000000 |
| a. Assets attributable to miscellaneous securities reported in Part D. | 0.000000000000 |
| b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities. | 0.000000000000 |
| c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)]. |
| Amounts payable within one year. | |
| Banks or other financial institutions for borrowings. | 139000000.000000000000 |
| Controlled companies. | 0.000000000000 |
| Other affiliates. | 0.000000000000 |
| Others. | 0.000000000000 |
| Amounts payable after one year. | |
| Banks or other financial institutions for borrowings. | 0.000000000000 |
| Controlled companies. | 0.000000000000 |
| Other affiliates. | 0.000000000000 |
| Others. | 0.000000000000 |
| d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis. |
| (i) On a delayed delivery, when-issued, or other firm commitment basis: | 0.000000000000 |
| (ii) On a standby commitment basis: | 0.000000000000 |
| e. Liquidation preference of outstanding preferred stock issued by the Fund. | 0.000000000000 |
| f. Cash and cash equivalents not reported in Parts C and D. |
| If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide: |
| a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years |
|---|---|---|---|---|---|---|
| #1 | South Africa Rand | |||||
| Interest Rate Risk (DV01) | ||||||
| 103.137321986182 | 669.117607278854 | 927.036132320825 | 65.086284374139 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 10385.132324135226 | 67629.396222230423 | 94934.959555266969 | 6696.864516769669 | 0.000000000000 | ||
| #2 | India Rupee | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | ||
| #3 | United States Dollar | |||||
| Interest Rate Risk (DV01) | ||||||
| 1269.929432398057 | 14219.284768782161 | 60548.151491164210 | 37763.404870943653 | 13033.157723757597 | ||
| Interest Rate Risk (DV100) | ||||||
| 217019.378730452495 | 1623680.130013258911 | 6259075.628638394057 | 3750439.903862478452 | 1343368.515465067704 | ||
| #4 | Russia Ruble | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 0.000000000000 | 1379.873779685116 | 1451.193098634885 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 0.000000000000 | 137669.323039177572 | 144784.816140054143 | 0.000000000000 | ||
| #5 | Malaysia Ringgit | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 0.000000000000 | 234.947844759266 | 3281.566618600734 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 0.000000000000 | 23430.861192183067 | 327263.831733033992 | 0.000000000000 | ||
| #6 | Colombia Peso | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 429.826546871415 | 3471.663723688584 | 0.000000000000 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 43072.397461302864 | 348052.197073311210 | 0.000000000000 | 0.000000000000 | ||
| #7 | Romania New Leu | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 791.538431722575 | 2048.081688919586 | 1329.468888347839 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 79081.749060357775 | 205459.838419775893 | 133533.621979692165 | 0.000000000000 | ||
| #8 | Indonesia Rupiah | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | ||
| #9 | Brazil Real | |||||
| Interest Rate Risk (DV01) | ||||||
| 51.026911063546 | 265.325816116865 | 905.778131355718 | 181.806000673871 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 5101.410482967062 | 26505.274824844552 | 90818.704052388219 | 18248.935467528448 | 0.000000000000 | ||
| #10 | China Yuan Renminbi | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 149.910322565003 | 953.874573904682 | 1753.385120150315 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 14838.433755066715 | 94462.147350857002 | 174042.581380280753 | 0.000000000000 | ||
| #11 | Mexico Peso | |||||
| Interest Rate Risk (DV01) | ||||||
| 0.000000000000 | 0.000000000000 | 3308.356948198142 | 5894.219834121860 | 0.000000000000 | ||
| Interest Rate Risk (DV100) | ||||||
| 0.000000000000 | 0.000000000000 | 321084.696227682646 | 571954.367023552710 | 0.000000000000 | ||
| c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| Credit Spread Risk | 3 month | 1 year | 5 years | 10 years | 30 years |
|---|---|---|---|---|---|
| Investment grade | 573.852373528580 | 4371.772436265995 | 13547.983191763158 | 9565.569672404125 | 3764.174637322020 |
| Non-Investment grade | 1436.028286788199 | 16059.785779109715 | 73863.619495678894 | 33282.725706144489 | 9083.594707150793 |
|
For purposes of Item B.3., calculate value as the sum of the absolute values of: (i) the value of each debt security, (ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate; (iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and (iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii). Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity. |
| a. For each borrower in any securities lending transaction, provide the following information: |
| Borrower Information Record | Name of borrower | LEI (if any) of borrower | Aggregate value of all securities on loan to the borrower |
|---|---|---|---|
| — | — | — | — |
| b. Did any securities lending counterparty provide any non-cash collateral? | ☐ Yes ☒ No |
| a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable. |
| Monthly Total Return Record | Monthly total returns of the Fund for each of the preceding three months | Class identification number(s) (if any) of the Class(es) for which returns are reported | ||
| Month 1 | Month 2 | Month 3 | ||
| #1 | 0.00814862 | -0.00584547 | -0.00355904 | |
| 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. |
| i. Asset category. |
| c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
| Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
|---|---|---|
| Month 1 | 888877.34 | 125139.16 |
| Month 2 | 413343.77 | -4397845.89 |
| Month 3 | 122415.33 | -3491177.76 |
| a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies. |
| Month | Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) | Total net asset value of shares sold in connection with reinvestments of dividends and distributions | Total net asset value of shares redeemed or repurchased, including exchanges |
|---|---|---|---|
| Month 1 | 0.0 | 0.0 | 0.0 |
| Month 2 | 0.0 | 0.0 | 0.0 |
| Month 3 | 0.0 | 0.0 | 0.0 |
| a. If applicable, provide the Fund's current Highly Liquid Investment Minimum. |
—
|
| b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period. |
—
|
| c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? | ☐ Yes ☐ No ☐ N/A |
| For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: |
| (1) Moderately Liquid Investments |
| (2) Less Liquid Investments |
| (3) Illiquid Investments |
| For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments. |
| Classification |
—
|
| If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information: |
| a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value. |
—
|
| b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
| c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
| d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period. |
—
|
| For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day: |
| a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value. |
—
|
| b. For Funds that were subject to the Relative VaR Test during the reporting period, provide: | |
| i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio. |
—
|
| ii. As applicable, the index identifier for the Fund’s Designated Index. |
—
|
| iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio. |
—
|
| c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period. |
—
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
| Schedule of Portfolio Investments Record: 1 |
| a. Name of issuer (if any). | ABN AMRO Bank N.V. |
| b. LEI (if any) of issuer. (1) | BFXS5XCH7N0Y05NIXW11 |
| c. Title of the issue or description of the investment. | ABN AMRO BANK NV SUBORDINATED 144A 04/26 4.8 |
| d. CUSIP (if any). | 00084DAL4 |
| At least one of the following other identifiers: |
| - ISIN | US00084DAL47 |
| - Ticker (if ISIN is not available). | ABNANV |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYP9PQ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 833986.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2362919486 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-18 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.800000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 2 |
| a. Name of issuer (if any). | ASP AMC Merger Sub, Inc |
| b. LEI (if any) of issuer. (1) | 54930081QGNZXVDOZF63 |
| c. Title of the issue or description of the investment. | AIR METHODS CORP SR UNSECURED 144A 05/25 8 |
| d. CUSIP (if any). | 00215JAA7 |
| At least one of the following other identifiers: |
| - ISIN | US00215JAA79 |
| - Ticker (if ISIN is not available). | ASPAMC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF1K2H4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1410000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1078650.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3056120337 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 3 |
| a. Name of issuer (if any). | AAdvantage Loyalty IP Ltd/ American Airlines Inc |
| b. LEI (if any) of issuer. (1) | IWUQB36BXD6OWD6X4T14 |
| c. Title of the issue or description of the investment. | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75 |
| d. CUSIP (if any). | 00253XAB7 |
| At least one of the following other identifiers: |
| - ISIN | US00253XAB73 |
| - Ticker (if ISIN is not available). | AAL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8H783 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2155000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2319318.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6571285588 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 4 |
| a. Name of issuer (if any). | ACE Securities Corp Home Equity Loan Trust Series 2007-SL2 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ACE SECURITIES CORP. ACE 2003 HS1 M2 |
| d. CUSIP (if any). | 004421CG6 |
| At least one of the following other identifiers: |
| - ISIN | US004421CG60 |
| - Ticker (if ISIN is not available). | ACE |
| Balance. (2) |
| a. Balance | 35655.5000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 35668.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0101060019 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.710998200000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 5 |
| a. Name of issuer (if any). | Acuris Finance Us Incorporated / Acuris Finance S A R L |
| b. LEI (if any) of issuer. (1) | 213800PHEXJH1L7ZN896 |
| c. Title of the issue or description of the investment. | ACURIS FIN US/ACURIS FIN SR SECURED 144A 05/28 5 |
| d. CUSIP (if any). | 00511BAA5 |
| At least one of the following other identifiers: |
| - ISIN | US00511BAA52 |
| - Ticker (if ISIN is not available). | ILOGIC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNXGNJ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 443250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1255852537 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 6 |
| a. Name of issuer (if any). | Adapthealth Llc |
| b. LEI (if any) of issuer. (1) | 549300SN58QQ28RVWE26 |
| c. Title of the issue or description of the investment. | ADAPTHEALTH LLC SR UNSECURED 144A 08/29 4.625 |
| d. CUSIP (if any). | 00653VAC5 |
| At least one of the following other identifiers: |
| - ISIN | US00653VAC54 |
| - Ticker (if ISIN is not available). | ADAHEA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLPK5Y0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 240000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 237300.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0672337974 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 7 |
| a. Name of issuer (if any). | Aethon United Br Lp / Aethon United Finance Corporation |
| b. LEI (if any) of issuer. (1) | 5493007HPG2M9K9X5V41 |
| c. Title of the issue or description of the investment. | AETHON UN/AETHIN UN FIN SR UNSECURED 144A 02/26 8.25 |
| d. CUSIP (if any). | 00810GAC8 |
| At least one of the following other identifiers: |
| - ISIN | US00810GAC87 |
| - Ticker (if ISIN is not available). | AETUNI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFGT10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1225000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1315907.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3728337188 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 8 |
| a. Name of issuer (if any). | Air Canada |
| b. LEI (if any) of issuer. (1) | 4B4HI3CGXMBDC0G6BM51 |
| c. Title of the issue or description of the investment. | AIR CANADA 2020 1C PTT PASS THRU CE 144A 07/26 10.5 |
| d. CUSIP (if any). | 008911BD0 |
| At least one of the following other identifiers: |
| - ISIN | US008911BD05 |
| - Ticker (if ISIN is not available). | ACACN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBM5X6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2276000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2793790.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7915596751 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 9 |
| a. Name of issuer (if any). | Air Canada |
| b. LEI (if any) of issuer. (1) | 4B4HI3CGXMBDC0G6BM51 |
| c. Title of the issue or description of the investment. | AIR CANADA SR SECURED 144A 08/26 3.875 |
| d. CUSIP (if any). | 008911BK4 |
| At least one of the following other identifiers: |
| - ISIN | US008911BK48 |
| - Ticker (if ISIN is not available). | ACACN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNNHG1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 370000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 374625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1061418515 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 10 |
| a. Name of issuer (if any). | NGPL Holdings |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AL NGPL HOLDINGS LLC TERM LOAN B |
| d. CUSIP (if any). | 01021AAB6 |
| At least one of the following other identifiers: |
| - ISIN | US01021AAB61 |
| Balance. (2) |
| a. Balance | 770000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 771925.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2187081714 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-14 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.940000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 11 |
| a. Name of issuer (if any). | Alliance Laundry Systems |
| b. LEI (if any) of issuer. (1) | 549300YBOGK6MBI5ND34 |
| c. Title of the issue or description of the investment. | ALLIANCE LAUNDRY SYSTEMS LLC TERM LOAN B |
| d. CUSIP (if any). | 01862LAW8 |
| At least one of the following other identifiers: |
| - ISIN | US01862LAW81 |
| - Ticker (if ISIN is not available). | SYSTEM |
| Balance. (2) |
| a. Balance | 1129053.5800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1131063.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3204622031 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.730000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 12 |
| a. Name of issuer (if any). | Allied World Assurance Company Holdings, Ltd |
| b. LEI (if any) of issuer. (1) | 549300E2X3MLXVVR4T40 |
| c. Title of the issue or description of the investment. | ALLIED WORLD ASSURANCE COMPANY GUAR 10/25 4.35 |
| d. CUSIP (if any). | 01959EAC2 |
| At least one of the following other identifiers: |
| - ISIN | US01959EAC21 |
| - Ticker (if ISIN is not available). | AWH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQGXV1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 385000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 415723.2900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1177861587 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BERMUDA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.350000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 13 |
| a. Name of issuer (if any). | Allison Transmission Inc. |
| b. LEI (if any) of issuer. (1) | MWKQ3I0U1GXP2YDSZW75 |
| c. Title of the issue or description of the investment. | ALLISON TRANSMISSION INC SR UNSECURED 144A 06/29 5.875 |
| d. CUSIP (if any). | 019736AF4 |
| At least one of the following other identifiers: |
| - ISIN | US019736AF46 |
| - Ticker (if ISIN is not available). | ALSN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHRH8R5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 240000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 258300.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0731836910 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 14 |
| a. Name of issuer (if any). | American Airlines (AA Advantage Loyalty) |
| 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 |
| Balance. (2) |
| a. Balance | 1920000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1998604.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5662612316 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.930000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 15 |
| a. Name of issuer (if any). | Amwins Group Inc |
| b. LEI (if any) of issuer. (1) | 549300SJE7MUB8NMRG61 |
| c. Title of the issue or description of the investment. | AMWINS GROUP INC SR UNSECURED 144A 06/29 4.875 |
| d. CUSIP (if any). | 031921AB5 |
| At least one of the following other identifiers: |
| - ISIN | US031921AB57 |
| - Ticker (if ISIN is not available). | AMWINS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNW02Z7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1240000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1236131.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3502309089 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 16 |
| a. Name of issuer (if any). | Antero Resources Corporation |
| b. LEI (if any) of issuer. (1) | APVBKPOULHUX7YZLKU17 |
| c. Title of the issue or description of the investment. | ANTERO RESOURCES CORP COMPANY GUAR 03/25 5 |
| d. CUSIP (if any). | 03674XAJ5 |
| At least one of the following other identifiers: |
| - ISIN | US03674XAJ54 |
| - Ticker (if ISIN is not available). | AR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDRYT42 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1173000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3323440555 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 17 |
| a. Name of issuer (if any). | Antero Resources Corporation |
| b. LEI (if any) of issuer. (1) | APVBKPOULHUX7YZLKU17 |
| c. Title of the issue or description of the investment. | ANTERO RESOURCES CORP SR UNSECURED 144A 07/26 8.375 |
| d. CUSIP (if any). | 03674XAN6 |
| At least one of the following other identifiers: |
| - ISIN | US03674XAN66 |
| - Ticker (if ISIN is not available). | AR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHXK05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 120000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 135000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0382493159 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 18 |
| a. Name of issuer (if any). | Apa Corporation |
| b. LEI (if any) of issuer. (1) | 72ZZ1XRHOOU9P9X16K08 |
| c. Title of the issue or description of the investment. | APACHE CORP SR UNSECURED 10/28 4.375 |
| d. CUSIP (if any). | 037411BE4 |
| At least one of the following other identifiers: |
| - ISIN | US037411BE40 |
| - Ticker (if ISIN is not available). | APA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYZLW65 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 806122.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2283972898 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 19 |
| a. Name of issuer (if any). | Applied Systems |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | APPLIED SYS INC TERM LOAN |
| d. CUSIP (if any). | 03827FAX9 |
| At least one of the following other identifiers: |
| - ISIN | US03827FAX96 |
| Balance. (2) |
| a. Balance | 383368.3200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 382800.9300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1084583236 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-09-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.430000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 20 |
| a. Name of issuer (if any). | AQUA FINANCE TRUST |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AQUA FINANCE TRUST AQFIT 2021 A A 144A |
| d. CUSIP (if any). | 03842VAA5 |
| At least one of the following other identifiers: |
| - ISIN | US03842VAA52 |
| - Ticker (if ISIN is not available). | AQFIT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8SN99 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 744350.9300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2108956580 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2046-07-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 1.540000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 21 |
| a. Name of issuer (if any). | Arches Buyer Inc |
| b. LEI (if any) of issuer. (1) | 2549009ADY4208OH2Y47 |
| c. Title of the issue or description of the investment. | ARCHES BUYER INC SR SECURED 144A 06/28 4.25 |
| d. CUSIP (if any). | 039524AA1 |
| At least one of the following other identifiers: |
| - ISIN | US039524AA11 |
| - Ticker (if ISIN is not available). | ACOM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHJ3J3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 806448.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2284895131 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 22 |
| a. Name of issuer (if any). | Arches Buyer Inc |
| b. LEI (if any) of issuer. (1) | 2549009ADY4208OH2Y47 |
| c. Title of the issue or description of the investment. | ARCHES BUYER INC SR UNSECURED 144A 12/28 6.125 |
| d. CUSIP (if any). | 039524AB9 |
| At least one of the following other identifiers: |
| - ISIN | US039524AB93 |
| - Ticker (if ISIN is not available). | ACOM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHJ3H1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 405000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 409556.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1160388620 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 23 |
| a. Name of issuer (if any). | Archrock Partners LP/Archrock Partners Finance Corp |
| b. LEI (if any) of issuer. (1) | 549300YFKOM2XNCKQU76 |
| c. Title of the issue or description of the investment. | ARCHROCK PARTNERS LP/FIN COMPANY GUAR 144A 04/27 6.875 |
| d. CUSIP (if any). | 03959KAA8 |
| At least one of the following other identifiers: |
| - ISIN | US03959KAA88 |
| - Ticker (if ISIN is not available). | APLP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJSDZR5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 521250.0100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1476848613 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 24 |
| a. Name of issuer (if any). | Archrock Partners LP/Archrock Partners Finance Corp |
| b. LEI (if any) of issuer. (1) | 549300YFKOM2XNCKQU76 |
| c. Title of the issue or description of the investment. | ARCHROCK PARTNERS LP/FIN COMPANY GUAR 144A 04/28 6.25 |
| d. CUSIP (if any). | 03959KAC4 |
| At least one of the following other identifiers: |
| - ISIN | US03959KAC45 |
| - Ticker (if ISIN is not available). | APLP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL717V2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 590000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 610650.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1730144054 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 25 |
| a. Name of issuer (if any). | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. |
| b. LEI (if any) of issuer. (1) | 6354001JXMLKNZDZR978 |
| c. Title of the issue or description of the investment. | ARDAGH PKG FIN/HLDGS USA SR SECURED 144A 08/26 4.125 |
| d. CUSIP (if any). | 03969AAN0 |
| At least one of the following other identifiers: |
| - ISIN | US03969AAN00 |
| - Ticker (if ISIN is not available). | ARGID |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK5HL35 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 75000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 76502.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0216752498 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 26 |
| a. Name of issuer (if any). | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. |
| b. LEI (if any) of issuer. (1) | 6354001JXMLKNZDZR978 |
| c. Title of the issue or description of the investment. | ARDAGH PKG FIN/HLDGS USA SR SECURED 144A 04/25 5.25 |
| d. CUSIP (if any). | 03969AAQ3 |
| At least one of the following other identifiers: |
| - ISIN | US03969AAQ31 |
| - Ticker (if ISIN is not available). | ARGID |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCQ5T3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0368326745 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 27 |
| a. Name of issuer (if any). | Asbury Automotive Group, Inc. |
| b. LEI (if any) of issuer. (1) | 549300JH4DTA7U42GL91 |
| c. Title of the issue or description of the investment. | ASBURY AUTOMOTIVE GROUP COMPANY GUAR 03/28 4.5 |
| d. CUSIP (if any). | 043436AU8 |
| At least one of the following other identifiers: |
| - ISIN | US043436AU81 |
| - Ticker (if ISIN is not available). | ABG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCVTF2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 419000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 426332.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1207920478 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 28 |
| a. Name of issuer (if any). | Asbury Automotive Group, Inc. |
| b. LEI (if any) of issuer. (1) | 549300JH4DTA7U42GL91 |
| c. Title of the issue or description of the investment. | ASBURY AUTOMOTIVE GROUP COMPANY GUAR 03/30 4.75 |
| d. CUSIP (if any). | 043436AV6 |
| At least one of the following other identifiers: |
| - ISIN | US043436AV64 |
| - Ticker (if ISIN is not available). | ABG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD2QQ4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 406000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 414120.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1173319013 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 29 |
| a. Name of issuer (if any). | Asset Backed Funding Corp |
| b. LEI (if any) of issuer. (1) | 5493009YQSUTUX056896 |
| c. Title of the issue or description of the investment. | ASSET BACKED FUNDING CERTIFICA ABFC 2003 AHL1 A1 |
| d. CUSIP (if any). | 04542BCJ9 |
| At least one of the following other identifiers: |
| - ISIN | US04542BCJ98 |
| - Ticker (if ISIN is not available). | ABFC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0BWS9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 104428.1000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 105744.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0299605248 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.003973900000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 30 |
| a. Name of issuer (if any). | Assurant Inc. |
| b. LEI (if any) of issuer. (1) | H3F39CAXWQRVWURFXL38 |
| c. Title of the issue or description of the investment. | ASSURANT INC SR UNSECURED 02/30 3.7 |
| d. CUSIP (if any). | 04621XAM0 |
| At least one of the following other identifiers: |
| - ISIN | US04621XAM02 |
| - Ticker (if ISIN is not available). | AIZ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKBNM90 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 810510.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2296406702 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-02-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.700000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 31 |
| a. Name of issuer (if any). | RESOLUTE INVESTMENT MANGRS INC 2020 TERM LOAN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RESOLUTE INVESTMENT MANGRS INC 2020 TERM LOAN |
| d. CUSIP (if any). | 04635WAH7 |
| At least one of the following other identifiers: |
| - ISIN | US04635WAH79 |
| Balance. (2) |
| a. Balance | 2379488.0200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2379488.0200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6741762137 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 32 |
| a. Name of issuer (if any). | Resolute Investment Managers |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RESOLUTE INVESTMENT MANGRS INC 2020 2ND LIEN TERM LOAN |
| d. CUSIP (if any). | 04635WAJ3 |
| At least one of the following other identifiers: |
| - ISIN | US04635WAJ36 |
| Balance. (2) |
| a. Balance | 923070.1300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 925377.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2621856899 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.210000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 33 |
| a. Name of issuer (if any). | Asurion |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ASURION LLC 2021 2ND LIEN TERM LOAN B3 |
| d. CUSIP (if any). | 04649VAZ3 |
| At least one of the following other identifiers: |
| - ISIN | US04649VAZ31 |
| Balance. (2) |
| a. Balance | 2020000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2011697.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5699708486 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.460000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 34 |
| a. Name of issuer (if any). | Asurion |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | ASURION LLC 2021 SECOND LIEN TERM LOAN B4 |
| d. CUSIP (if any). | 04649VBA7 |
| At least one of the following other identifiers: |
| - ISIN | US04649VBA70 |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 348323.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0986898931 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.370000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 35 |
| a. Name of issuer (if any). | Athene Holding Ltd |
| b. LEI (if any) of issuer. (1) | 549300H316CT32FQXI76 |
| c. Title of the issue or description of the investment. | ATHENE HOLDING LTD SR UNSECURED 01/28 4.125 |
| d. CUSIP (if any). | 04686JAA9 |
| At least one of the following other identifiers: |
| - ISIN | US04686JAA97 |
| - Ticker (if ISIN is not available). | ATH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFW28L5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 830747.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2353742030 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BERMUDA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-12 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 36 |
| a. Name of issuer (if any). | Avantor Funding Inc |
| b. LEI (if any) of issuer. (1) | 5493003VM0XB4U8YD238 |
| c. Title of the issue or description of the investment. | AVANTOR FUNDING INC COMPANY GUAR 144A 11/29 3.875 |
| d. CUSIP (if any). | 05352TAB5 |
| At least one of the following other identifiers: |
| - ISIN | US05352TAB52 |
| - Ticker (if ISIN is not available). | AVTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV6Y75 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 365000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 364883.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1033817242 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 37 |
| a. Name of issuer (if any). | Banc of America Funding Corporation |
| 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 2005 5 1A1 |
| d. CUSIP (if any). | 05946XD34 |
| At least one of the following other identifiers: |
| - ISIN | US05946XD344 |
| - Ticker (if ISIN is not available). | BAFC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0C0R7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 97550.8200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 104526.7800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0296153913 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2035-09-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 38 |
| a. Name of issuer (if any). | Banco del Estado de Chile |
| b. LEI (if any) of issuer. (1) | 5493004R4EJC0W0XVQ72 |
| c. Title of the issue or description of the investment. | BANCO DEL ESTADO CHILE SR UNSECURED 144A 02/22 3.875 |
| d. CUSIP (if any). | 05965MAA1 |
| At least one of the following other identifiers: |
| - ISIN | US05965MAA18 |
| - Ticker (if ISIN is not available). | BANCO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B79KMP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 650000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 653250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1850841895 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
CHILE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-02-08 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 39 |
| a. Name of issuer (if any). | Bank 2017-Bnk6 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BANK BANK 2017 BNK6 D 144A |
| d. CUSIP (if any). | 060352AV3 |
| At least one of the following other identifiers: |
| - ISIN | US060352AV35 |
| - Ticker (if ISIN is not available). | BANK |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 907033.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2569881151 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2060-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.100000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 40 |
| a. Name of issuer (if any). | Banc America Mortgage Securitites Inc |
| b. LEI (if any) of issuer. (1) | 549300IE5TDZLY0T0V30 |
| c. Title of the issue or description of the investment. | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 C 1A1 |
| d. CUSIP (if any). | 0605067F3 |
| At least one of the following other identifiers: |
| - ISIN | US0605067F31 |
| - Ticker (if ISIN is not available). | BOAMS |
| Balance. (2) |
| a. Balance | 247993.5600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 240582.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0681637091 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-04-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.246504600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 41 |
| a. Name of issuer (if any). | Bank of America Corporation |
| b. LEI (if any) of issuer. (1) | 9DJT3UXIJIZJI4WXO774 |
| c. Title of the issue or description of the investment. | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1 |
| d. CUSIP (if any). | 06051GDM8 |
| At least one of the following other identifiers: |
| - ISIN | US06051GDM87 |
| - Ticker (if ISIN is not available). | BAC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0C3Q7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 165473.6700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 171300.4600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0485342622 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2035-05-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.784496400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 42 |
| a. Name of issuer (if any). | Bank of America Corporation |
| b. LEI (if any) of issuer. (1) | 9DJT3UXIJIZJI4WXO774 |
| c. Title of the issue or description of the investment. | BANK OF AMERICA CORP SR UNSECURED 01/22 5.7 |
| d. CUSIP (if any). | 06051GEM7 |
| At least one of the following other identifiers: |
| - ISIN | US06051GEM78 |
| - Ticker (if ISIN is not available). | BAC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B93Q397 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 253046.3600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0716951863 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-01-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.700000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 43 |
| a. Name of issuer (if any). | Bass Pro Shops |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GREAT OUTDOORS GROUP, LLC 2021 TERM LOAN B |
| d. CUSIP (if any). | 07014QAM3 |
| At least one of the following other identifiers: |
| - ISIN | US07014QAM33 |
| Balance. (2) |
| a. Balance | 417471.8600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 418427.8700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1185524427 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.440000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 44 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC COMPANY GUAR 144A 01/28 7 |
| d. CUSIP (if any). | 071734AD9 |
| At least one of the following other identifiers: |
| - ISIN | US071734AD90 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK8KJV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 101263.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0286908118 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 45 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC COMPANY GUAR 144A 05/29 7.25 |
| d. CUSIP (if any). | 071734AF4 |
| At least one of the following other identifiers: |
| - ISIN | US071734AF49 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK8KJZ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 50000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 50675.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0143578015 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 46 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC SR UNSECURED 144A 01/30 5.25 |
| d. CUSIP (if any). | 071734AJ6 |
| At least one of the following other identifiers: |
| - ISIN | US071734AJ60 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPNQC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 406135.8900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1150697773 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-01-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 47 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC COMPANY GUAR 144A 02/29 6.25 |
| d. CUSIP (if any). | 071734AK3 |
| At least one of the following other identifiers: |
| - ISIN | US071734AK34 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDHPY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 581250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1646845544 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 48 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC SR SECURED 144A 06/28 4.875 |
| d. CUSIP (if any). | 071734AN7 |
| At least one of the following other identifiers: |
| - ISIN | US071734AN72 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLB14D9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 380000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 391324.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1108731502 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 49 |
| a. Name of issuer (if any). | Baytex Energy Corp |
| b. LEI (if any) of issuer. (1) | 549300R5LTV2H7I1I079 |
| c. Title of the issue or description of the investment. | BAYTEX ENERGY CORP SR UNSECURED 144A 04/27 8.75 |
| d. CUSIP (if any). | 07317QAH8 |
| At least one of the following other identifiers: |
| - ISIN | US07317QAH83 |
| - Ticker (if ISIN is not available). | BTECN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKP38N2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1921500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5444152623 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 50 |
| a. Name of issuer (if any). | Bear Stearns Asset Backed Securities Trust |
| 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 2002 2 A1 |
| d. CUSIP (if any). | 07384YEM4 |
| At least one of the following other identifiers: |
| - ISIN | US07384YEM49 |
| - Ticker (if ISIN is not available). | BSABS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0C5N8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 78109.2700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 77883.3100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0220665431 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.745997900000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 51 |
| a. Name of issuer (if any). | Benchmark Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BENCHMARK MORTGAGE TRUST BMARK 2018 B1 A2 |
| d. CUSIP (if any). | 08162PAT8 |
| At least one of the following other identifiers: |
| - ISIN | US08162PAT84 |
| - Ticker (if ISIN is not available). | BMARK |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 199218.2600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0564441641 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2051-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.571000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 52 |
| a. Name of issuer (if any). | W.R. Berkley Corporation |
| b. LEI (if any) of issuer. (1) | SQOAGCLKBDWNVYV1OV80 |
| c. Title of the issue or description of the investment. | BERKLEY (WR) CORPORATION SR UNSECURED 03/22 4.625 |
| d. CUSIP (if any). | 084423AS1 |
| At least one of the following other identifiers: |
| - ISIN | US084423AS19 |
| - Ticker (if ISIN is not available). | WRB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B6S63S0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 650000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 660211.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1870564744 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 53 |
| a. Name of issuer (if any). | Berry Global Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BERRY GLOBAL INC SECURED 144A 07/27 5.625 |
| d. CUSIP (if any). | 085770AB1 |
| At least one of the following other identifiers: |
| - ISIN | US085770AB14 |
| - Ticker (if ISIN is not available). | BERY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJKFFK2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 183288.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0519306711 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 54 |
| a. Name of issuer (if any). | Blackstone Mortgage Trust, Inc |
| b. LEI (if any) of issuer. (1) | 549300OLDJ20R2Y2UW20 |
| c. Title of the issue or description of the investment. | BLACKSTONE MORTGAGE TRU CL A REIT USD.01 |
| d. CUSIP (if any). | 09257W100 |
| At least one of the following other identifiers: |
| - ISIN | US09257W1009 |
| - Ticker (if ISIN is not available). | BXMT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B94QHZ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 14944.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 491657.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1393004951 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 55 |
| a. Name of issuer (if any). | Blackstone Mortgage Trust, Inc |
| b. LEI (if any) of issuer. (1) | 549300OLDJ20R2Y2UW20 |
| c. Title of the issue or description of the investment. | BLACKSTONE MORTGAGE TR SR SECURED 144A 01/27 3.75 |
| d. CUSIP (if any). | 09257WAD2 |
| At least one of the following other identifiers: |
| - ISIN | US09257WAD20 |
| - Ticker (if ISIN is not available). | BXMT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN30751 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 298455.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0845607375 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 56 |
| a. Name of issuer (if any). | Block Communications, Inc. |
| b. LEI (if any) of issuer. (1) | M5G68A9OHJWIL4SFC742 |
| c. Title of the issue or description of the investment. | BLOCK COMMUNICATIONS INC COMPANY GUAR 144A 03/28 4.875 |
| d. CUSIP (if any). | 093645AJ8 |
| At least one of the following other identifiers: |
| - ISIN | US093645AJ88 |
| - Ticker (if ISIN is not available). | BLOCKC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLK7881 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 153000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0433492246 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 57 |
| a. Name of issuer (if any). | Blue Mountain Clo 2015-2 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BLUEMOUNTAIN CLO LTD BLUEM 2015 2A A1R 144A |
| d. CUSIP (if any). | 09628BAL2 |
| At least one of the following other identifiers: |
| - ISIN | US09628BAL27 |
| - Ticker (if ISIN is not available). | BLUEM |
| Balance. (2) |
| a. Balance | 228613.8000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 228731.5400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0648061105 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.063880000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 58 |
| a. Name of issuer (if any). | Boardwalk Pipelines LP |
| b. LEI (if any) of issuer. (1) | 549300W6AQ2GHHCGL606 |
| c. Title of the issue or description of the investment. | BOARDWALK PIPELINES LP COMPANY GUAR 05/29 4.8 |
| d. CUSIP (if any). | 096630AG3 |
| At least one of the following other identifiers: |
| - ISIN | US096630AG32 |
| - Ticker (if ISIN is not available). | BWP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJTJG91 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 856080.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2425517891 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-03 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.800000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 59 |
| a. Name of issuer (if any). | Bombardier Inc. |
| b. LEI (if any) of issuer. (1) | W7L3VLU8EHQY34Z36697 |
| c. Title of the issue or description of the investment. | BOMBARDIER INC |
| d. CUSIP (if any). | 097751BT7 |
| At least one of the following other identifiers: |
| - ISIN | US097751BT78 |
| - Ticker (if ISIN is not available). | BBDBCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHL3S24 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1403122.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3975442643 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 60 |
| a. Name of issuer (if any). | 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 |
| - Ticker (if ISIN is not available). | BBDBCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVZBM6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 283162.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0802279400 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 61 |
| a. Name of issuer (if any). | 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 02/28 6 |
| d. CUSIP (if any). | 097751BX8 |
| At least one of the following other identifiers: |
| - ISIN | US097751BX80 |
| - Ticker (if ISIN is not available). | BBDBCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNSNRR7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 185000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 186618.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0528743668 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 62 |
| a. Name of issuer (if any). | Brighthouse Financial Inc. |
| b. LEI (if any) of issuer. (1) | 5493003T8SZSHOGGAW52 |
| c. Title of the issue or description of the investment. | BRIGHTHOUSE FINANCIAL IN SR UNSECURED 06/47 4.7 |
| d. CUSIP (if any). | 10922NAF0 |
| At least one of the following other identifiers: |
| - ISIN | US10922NAF06 |
| - Ticker (if ISIN is not available). | BHF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD6TZ17 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 850000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 975364.8600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2763484341 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2047-06-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.700000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 63 |
| a. Name of issuer (if any). | Bristow Group Inc |
| b. LEI (if any) of issuer. (1) | 5OR64DV4VUQ8NW3R8C06 |
| c. Title of the issue or description of the investment. | BRISTOW GROUP INC COMMON STOCK USD.01 |
| d. CUSIP (if any). | 11040G103 |
| At least one of the following other identifiers: |
| - ISIN | US11040G1031 |
| - Ticker (if ISIN is not available). | VTOL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBT0Z4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 37310.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1290926.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3657558246 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 64 |
| a. Name of issuer (if any). | Bristow Group Inc |
| b. LEI (if any) of issuer. (1) | 5OR64DV4VUQ8NW3R8C06 |
| c. Title of the issue or description of the investment. | BRISTOW GROUP INC SR SECURED 144A 03/28 6.875 |
| d. CUSIP (if any). | 11040GAA1 |
| At least one of the following other identifiers: |
| - ISIN | US11040GAA13 |
| - Ticker (if ISIN is not available). | ERA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVD700 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2438125.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6907897275 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 65 |
| a. Name of issuer (if any). | Bristow Group Inc Escrow |
| b. LEI (if any) of issuer. (1) | 5OR64DV4VUQ8NW3R8C06 |
| c. Title of the issue or description of the investment. | BRISTOW GROUP INC + 10/22 FIXED 6.25 |
| d. CUSIP (if any). | 110ESCAA8 |
| At least one of the following other identifiers: |
| - ISIN | US110ESCAA82 |
| - Ticker (if ISIN is not available). | BRS |
| Balance. (2) |
| a. Balance | 3855000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.0400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000000113 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 66 |
| a. Name of issuer (if any). | Broadcom Corporation/Broadcom Cayman Finance Ltd |
| b. LEI (if any) of issuer. (1) | KFFV4ZWM9DJH1ND3BD89 |
| c. Title of the issue or description of the investment. | BROADCOM CRP / CAYMN FI COMPANY GUAR 01/28 3.5 |
| d. CUSIP (if any). | 11134LAR0 |
| At least one of the following other identifiers: |
| - ISIN | US11134LAR06 |
| - Ticker (if ISIN is not available). | AVGO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFX1781 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 809535.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2293641475 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 67 |
| a. Name of issuer (if any). | Broadstreet Partners Inc |
| b. LEI (if any) of issuer. (1) | 549300BS9N54G8DD0R75 |
| c. Title of the issue or description of the investment. | BROADSTREET PARTNERS INC SR UNSECURED 144A 04/29 5.875 |
| d. CUSIP (if any). | 11135RAA3 |
| At least one of the following other identifiers: |
| - ISIN | US11135RAA32 |
| - Ticker (if ISIN is not available). | BROPAR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNBW7Y8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1570000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1542525.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4370409329 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 68 |
| a. Name of issuer (if any). | Brookside Mill CLO Ltd. |
| b. LEI (if any) of issuer. (1) | 2549007HTAHTXHECZ431 |
| c. Title of the issue or description of the investment. | BROOKSIDE MILL CLO LTD BSMC 2013 1A DR 144A |
| d. CUSIP (if any). | 114521AP2 |
| At least one of the following other identifiers: |
| - ISIN | US114521AP26 |
| - Ticker (if ISIN is not available). | BSMC |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 991390.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2808888092 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.783879900000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 69 |
| a. Name of issuer (if any). | Buckeye Partners LP |
| b. LEI (if any) of issuer. (1) | 549300C1PQJLVEIUBK50 |
| c. Title of the issue or description of the investment. | BUCKEYE PARTNERS LP SR UNSECURED 11/43 5.85 |
| d. CUSIP (if any). | 118230AM3 |
| At least one of the following other identifiers: |
| - ISIN | US118230AM30 |
| - Ticker (if ISIN is not available). | BPL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGDRY29 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1109137.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3142500042 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2043-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.850000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 70 |
| a. Name of issuer (if any). | CCO Holdings, LLC/ CCO Holdings Capital Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 05/27 5.125 |
| d. CUSIP (if any). | 1248EPBT9 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPBT92 |
| - Ticker (if ISIN is not available). | CHTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYM4WW3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 466312.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1321195118 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 71 |
| a. Name of issuer (if any). | CCO Holdings, LLC/ CCO Holdings Capital Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 02/28 5 |
| d. CUSIP (if any). | 1248EPBX0 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPBX05 |
| - Ticker (if ISIN is not available). | CHTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2KJZ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 156000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0441992094 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 72 |
| a. Name of issuer (if any). | CCO Holdings, LLC/ CCO Holdings Capital Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 08/30 4.5 |
| d. CUSIP (if any). | 1248EPCE1 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPCE15 |
| - Ticker (if ISIN is not available). | CHTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKZHNR3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3053640.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8651825249 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 73 |
| a. Name of issuer (if any). | CCO Holdings, LLC/ CCO Holdings Capital Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CCO HLDGS LLC/CAP CORP SR UNSECURED 05/32 4.5 |
| d. CUSIP (if any). | 1248EPCN1 |
| At least one of the following other identifiers: |
| - ISIN | US1248EPCN14 |
| - Ticker (if ISIN is not available). | CHTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBVFS8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 251182.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0711671021 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 74 |
| a. Name of issuer (if any). | CCM Merger |
| b. LEI (if any) of issuer. (1) | 549300P77RSBKKFME089 |
| c. Title of the issue or description of the investment. | CCM MERGER INC 2020 TERM LOAN B |
| d. CUSIP (if any). | 12502TAM6 |
| At least one of the following other identifiers: |
| - ISIN | US12502TAM62 |
| - Ticker (if ISIN is not available). | MOTOR |
| Balance. (2) |
| a. Balance | 1895345.4500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1895345.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5370049390 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-04 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.970000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 75 |
| a. Name of issuer (if any). | Csail Commercial Mortagage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2017 MDRB A 144A |
| d. CUSIP (if any). | 125333AS3 |
| At least one of the following other identifiers: |
| - ISIN | US125333AS35 |
| - Ticker (if ISIN is not available). | CSAIL |
| Balance. (2) |
| a. Balance | 203094.4700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 202368.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0573368351 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.184000100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 76 |
| a. Name of issuer (if any). | Community Health Systems Incorporated |
| 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 |
| - Ticker (if ISIN is not available). | CYH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV2XH5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 780000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2209960472 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 77 |
| a. Name of issuer (if any). | Community Health Systems Incorporated |
| 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 01/29 6 |
| d. CUSIP (if any). | 12543DBH2 |
| At least one of the following other identifiers: |
| - ISIN | US12543DBH26 |
| - Ticker (if ISIN is not available). | CYH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNTB89 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 40000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 42100.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0119281200 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 78 |
| a. Name of issuer (if any). | Community Health Systems Incorporated |
| b. LEI (if any) of issuer. (1) | 5493007X5NC5XI1BB106 |
| c. Title of the issue or description of the investment. | CHS/COMMUNITY HEALTH SYS SECURED 144A 04/29 6.875 |
| d. CUSIP (if any). | 12543DBJ8 |
| At least one of the following other identifiers: |
| - ISIN | US12543DBJ81 |
| - Ticker (if ISIN is not available). | CYH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDMJ98 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1230000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1265362.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3585129625 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 79 |
| a. Name of issuer (if any). | Commercial Mortgage 2012-Lc4 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2012 LC4 A4 |
| d. CUSIP (if any). | 126192AD5 |
| At least one of the following other identifiers: |
| - ISIN | US126192AD55 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B6QJBD2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 49719.1700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 49730.4800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0140900506 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2044-12-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.288000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 80 |
| a. Name of issuer (if any). | Commercial Mortgage 2012-Lc4 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2012 LC4 AM |
| d. CUSIP (if any). | 126192AE3 |
| At least one of the following other identifiers: |
| - ISIN | US126192AE39 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7LKLV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 503267.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1425898229 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2044-12-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.063000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 81 |
| a. Name of issuer (if any). | Commercial Mortgage 2012-Lc4 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2012 LC4 C |
| d. CUSIP (if any). | 126192AG8 |
| At least one of the following other identifiers: |
| - ISIN | US126192AG86 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7L8MB6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 470540.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1333173246 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2044-12-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.606634300000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 82 |
| a. Name of issuer (if any). | Commercial Mortgage Trust 2012-CCRE5 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2012 CR5 E 144A |
| d. CUSIP (if any). | 12623SAU4 |
| At least one of the following other identifiers: |
| - ISIN | US12623SAU42 |
| - Ticker (if ISIN is not available). | COMM |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 942069.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2669150308 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-12-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.320445500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 83 |
| a. Name of issuer (if any). | Comm 2006-C8 Mtg |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2012 CR2 C |
| d. CUSIP (if any). | 12624KAH9 |
| At least one of the following other identifiers: |
| - ISIN | US12624KAH95 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B631FT5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 999477.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2831802832 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.830550200000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 84 |
| a. Name of issuer (if any). | Commercial Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2012 CR4 B 144A |
| d. CUSIP (if any). | 12624QBA0 |
| At least one of the following other identifiers: |
| - ISIN | US12624QBA04 |
| - Ticker (if ISIN is not available). | COMM |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 923114.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2615444302 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.703000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 85 |
| a. Name of issuer (if any). | COMM Mortgage Trust 2013-LC13 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMM MORTGAGE TRUST COMM 2013 LC13 D 144A |
| d. CUSIP (if any). | 12626GAT0 |
| At least one of the following other identifiers: |
| - ISIN | US12626GAT04 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD6CWY8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1103000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1050837.1400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2977318643 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2046-08-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.261358900000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 86 |
| a. Name of issuer (if any). | CSC Holdings, LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC HOLDINGS LLC COMPANY GUAR 144A 02/28 5.375 |
| d. CUSIP (if any). | 126307AS6 |
| At least one of the following other identifiers: |
| - ISIN | US126307AS68 |
| - Ticker (if ISIN is not available). | CVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2BQ30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 437750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1240269483 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 87 |
| a. Name of issuer (if any). | CSC Holdings, LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC HOLDINGS LLC SR UNSECURED 144A 01/30 5.75 |
| d. CUSIP (if any). | 126307BA4 |
| At least one of the following other identifiers: |
| - ISIN | US126307BA42 |
| - Ticker (if ISIN is not available). | CVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKFH0Y9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4025000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3971467.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1252289986 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 88 |
| a. Name of issuer (if any). | CSC Holdings, LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC HOLDINGS LLC COMPANY GUAR 144A 12/30 4.125 |
| d. CUSIP (if any). | 126307BB2 |
| At least one of the following other identifiers: |
| - ISIN | US126307BB25 |
| - Ticker (if ISIN is not available). | CVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9LYP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 865000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 828237.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2346630944 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 89 |
| a. Name of issuer (if any). | CSC Holdings, LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC HOLDINGS LLC SR UNSECURED 144A 12/30 4.625 |
| d. CUSIP (if any). | 126307BD8 |
| At least one of the following other identifiers: |
| - ISIN | US126307BD80 |
| - Ticker (if ISIN is not available). | CVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9M1M9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 625000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 572656.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1622497021 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 90 |
| a. Name of issuer (if any). | CSMC TRUST |
| b. LEI (if any) of issuer. (1) | 549300818AKCJ4Q9TD76 |
| c. Title of the issue or description of the investment. | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 USA D 144A |
| d. CUSIP (if any). | 12649AAN9 |
| At least one of the following other identifiers: |
| - ISIN | US12649AAN90 |
| - Ticker (if ISIN is not available). | CSMC |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 704528.7800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1996129173 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2037-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.373300000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 91 |
| a. Name of issuer (if any). | Cqp Holdco Lp & Bip-V Chinook Holdco L L C |
| b. LEI (if any) of issuer. (1) | 549300LPL012JY5D4B69 |
| c. Title of the issue or description of the investment. | CQP HOLDCO LP + BIP V CHINOOK 06/31 5.5 |
| d. CUSIP (if any). | 12657NAA8 |
| At least one of the following other identifiers: |
| - ISIN | US12657NAA81 |
| - Ticker (if ISIN is not available). | BLKCQP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8H4Y8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1550000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1612000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4567251641 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 92 |
| a. Name of issuer (if any). | CVS Health Corp |
| b. LEI (if any) of issuer. (1) | 549300EJG376EN5NQE29 |
| c. Title of the issue or description of the investment. | CVS PASS THROUGH TRUST PASS THRU CE 12/28 6.036 |
| d. CUSIP (if any). | 126650BP4 |
| At least one of the following other identifiers: |
| - ISIN | US126650BP48 |
| - Ticker (if ISIN is not available). | CVS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3T82V0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 354251.2900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 410139.0300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1162039800 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-12-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.036000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 93 |
| a. Name of issuer (if any). | CWMBS Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COUNTRYWIDE HOME LOANS CWHL 2003 48 2A2 |
| d. CUSIP (if any). | 12669EU95 |
| At least one of the following other identifiers: |
| - ISIN | US12669EU958 |
| - Ticker (if ISIN is not available). | CWHL |
| Balance. (2) |
| a. Balance | 28770.4000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 28674.0500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0081241689 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.299502000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 94 |
| a. Name of issuer (if any). | Cablevision Lightpath Llc |
| b. LEI (if any) of issuer. (1) | 5493002ZVBLRLGES1R71 |
| c. Title of the issue or description of the investment. | CABLEVISION LIGHTPATH SR SECURED 144A 09/27 3.875 |
| d. CUSIP (if any). | 12687GAA7 |
| At least one of the following other identifiers: |
| - ISIN | US12687GAA76 |
| - Ticker (if ISIN is not available). | CSCHLD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG6S45 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 160000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 155792.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0441402772 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 95 |
| a. Name of issuer (if any). | Cablevision Lightpath Llc |
| b. LEI (if any) of issuer. (1) | 5493002ZVBLRLGES1R71 |
| c. Title of the issue or description of the investment. | CABLEVISION LIGHTPATH SR UNSECURED 144A 09/28 5.625 |
| d. CUSIP (if any). | 12687GAB5 |
| At least one of the following other identifiers: |
| - ISIN | US12687GAB59 |
| - Ticker (if ISIN is not available). | CSCHLD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG5F07 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 138384.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0392082120 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 96 |
| a. Name of issuer (if any). | Canadian Pacific Railway Company |
| b. LEI (if any) of issuer. (1) | 54930036474DURYNB481 |
| c. Title of the issue or description of the investment. | CANADIAN PACIFIC RR CO SR UNSECURED 01/22 4.5 |
| d. CUSIP (if any). | 13645RAP9 |
| At least one of the following other identifiers: |
| - ISIN | US13645RAP91 |
| - Ticker (if ISIN is not available). | CP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B72VYL8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 756087.9700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2142210932 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 97 |
| a. Name of issuer (if any). | Fly Leasing Limited |
| b. LEI (if any) of issuer. (1) | 549300LI58A0MHGHTZ98 |
| c. Title of the issue or description of the investment. | FLY LEASING LTD SR UNSECURED 144A 10/24 7 |
| d. CUSIP (if any). | 14308CAA1 |
| At least one of the following other identifiers: |
| - ISIN | US14308CAA18 |
| - Ticker (if ISIN is not available). | FLY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVNPY0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2528302.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7163395282 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BERMUDA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 98 |
| a. Name of issuer (if any). | Carnival Corporation |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | CARNIVAL CORP SECURED 144A 02/26 10.5 |
| d. CUSIP (if any). | 143658BG6 |
| At least one of the following other identifiers: |
| - ISIN | US143658BG61 |
| - Ticker (if ISIN is not available). | CCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCGQB5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 325000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 377650.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1069989195 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PANAMA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 99 |
| a. Name of issuer (if any). | Carnival Corporation |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | CARNIVAL CORP SECURED 144A 08/27 9.875 |
| d. CUSIP (if any). | 143658BJ0 |
| At least one of the following other identifiers: |
| - ISIN | US143658BJ01 |
| - Ticker (if ISIN is not available). | CCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMPRJW4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 489281.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1386272079 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PANAMA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 100 |
| a. Name of issuer (if any). | Carnival Corporation |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | CARNIVAL CORP SR UNSECURED 144A 03/26 7.625 |
| d. CUSIP (if any). | 143658BL5 |
| At least one of the following other identifiers: |
| - ISIN | US143658BL56 |
| - Ticker (if ISIN is not available). | CCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWC6B0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1165000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1227432.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3477662788 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PANAMA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 101 |
| a. Name of issuer (if any). | Carnival Corporation |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | CARNIVAL CORP SR SECURED 144A 08/28 4 |
| d. CUSIP (if any). | 143658BQ4 |
| At least one of the following other identifiers: |
| - ISIN | US143658BQ44 |
| - Ticker (if ISIN is not available). | CCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD9Z35 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 760000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 760000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2153294818 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PANAMA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 102 |
| a. Name of issuer (if any). | Carnival Corporation |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | CARNIVAL CORP SR UNSECURED 144A 05/29 6 |
| d. CUSIP (if any). | 143658BR2 |
| At least one of the following other identifiers: |
| - ISIN | US143658BR27 |
| - Ticker (if ISIN is not available). | CCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVRFC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 640000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 639600.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1812167587 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PANAMA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 103 |
| a. Name of issuer (if any). | Castlelake Aviation Finance Designated Activity Company |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CASTLELAKE AVIATION FIN SR UNSECURED 144A 04/27 5 |
| d. CUSIP (if any). | 14856HAA6 |
| At least one of the following other identifiers: |
| - ISIN | US14856HAA68 |
| - Ticker (if ISIN is not available). | CASAVI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV3PB7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 630000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 628229.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1779952313 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 104 |
| a. Name of issuer (if any). | CCM Merger Inc. (Motor City) |
| b. LEI (if any) of issuer. (1) | 549300P77RSBKKFME089 |
| c. Title of the issue or description of the investment. | CCM MERGER INC SR UNSECURED 144A 05/26 6.375 |
| d. CUSIP (if any). | 14985VAE1 |
| At least one of the following other identifiers: |
| - ISIN | US14985VAE11 |
| - Ticker (if ISIN is not available). | MOTOR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLGYW84 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 975000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1021312.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2893666992 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 105 |
| a. Name of issuer (if any). | Centex Home Loan Equity Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CENTEX HOME EQUITY CXHE 2002 A AF6 |
| d. CUSIP (if any). | 152314EL0 |
| At least one of the following other identifiers: |
| - ISIN | US152314EL01 |
| - Ticker (if ISIN is not available). | CXHE |
| Balance. (2) |
| a. Balance | 10815.4500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11050.4400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0031309020 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.540000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 106 |
| a. Name of issuer (if any). | Apergy/ChampionX |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | APERGY CORPORATION 2020 TERM LOAN |
| d. CUSIP (if any). | 15872EAB8 |
| At least one of the following other identifiers: |
| - ISIN | US15872EAB83 |
| Balance. (2) |
| a. Balance | 2335361.8400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2369668.3100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6713940123 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.350000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 107 |
| a. Name of issuer (if any). | Change Healthcare Holdings |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CHANGE HEALTHCARE HLDGS INC TERM LOAN B |
| d. CUSIP (if any). | 15911AAC7 |
| At least one of the following other identifiers: |
| - ISIN | US15911AAC71 |
| Balance. (2) |
| a. Balance | 437267.9200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 436769.4300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1237491251 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.790000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 108 |
| a. Name of issuer (if any). | Change Healthcare Holdings LLC/ Change Healthcare Finance Inc |
| b. LEI (if any) of issuer. (1) | 549300GHXFJ3EKF50583 |
| c. Title of the issue or description of the investment. | CHANGE HEALTH / FIN INC SR UNSECURED 144A 03/25 5.75 |
| d. CUSIP (if any). | 15911NAA3 |
| At least one of the following other identifiers: |
| - ISIN | US15911NAA37 |
| - Ticker (if ISIN is not available). | EM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQ0DX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2375000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2392812.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6779514155 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 109 |
| a. Name of issuer (if any). | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. |
| b. LEI (if any) of issuer. (1) | 549300TPZNMN50BJ3745 |
| c. Title of the issue or description of the investment. | CHARTER COMM OPT LLC/CAP SR SECURED 03/29 5.05 |
| d. CUSIP (if any). | 161175BR4 |
| At least one of the following other identifiers: |
| - ISIN | US161175BR49 |
| - Ticker (if ISIN is not available). | CHTRIG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BH420W2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 787009.3600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2229819970 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.050000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 110 |
| a. Name of issuer (if any). | The Chemours Company LLC |
| b. LEI (if any) of issuer. (1) | 549300M1BOLNXL8DOV14 |
| c. Title of the issue or description of the investment. | CHEMOURS CO COMPANY GUAR 144A 11/29 4.625 |
| d. CUSIP (if any). | 163851AH1 |
| At least one of the following other identifiers: |
| - ISIN | US163851AH15 |
| - Ticker (if ISIN is not available). | CC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP2BRJ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 950000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 914375.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2590682828 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 111 |
| a. Name of issuer (if any). | Cheniere Energy Partners L P |
| b. LEI (if any) of issuer. (1) | 5493005UEC8AZ34LDV29 |
| c. Title of the issue or description of the investment. | CHENIERE ENERGY PARTNERS COMPANY GUAR 10/29 4.5 |
| d. CUSIP (if any). | 16411QAG6 |
| At least one of the following other identifiers: |
| - ISIN | US16411QAG64 |
| - Ticker (if ISIN is not available). | CQP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVQHT8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 427072.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1210015690 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 112 |
| a. Name of issuer (if any). | Cheniere Energy Partners L P |
| b. LEI (if any) of issuer. (1) | 5493005UEC8AZ34LDV29 |
| c. Title of the issue or description of the investment. | CHENIERE ENERGY PARTNERS COMPANY GUAR 144A 01/32 3.25 |
| d. CUSIP (if any). | 16411QAL5 |
| At least one of the following other identifiers: |
| - ISIN | US16411QAL59 |
| - Ticker (if ISIN is not available). | CQP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHLCC5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 792960.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2246679815 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 113 |
| a. Name of issuer (if any). | Cinemark USA Inc. |
| b. LEI (if any) of issuer. (1) | 54930008H2137JSCPQ09 |
| c. Title of the issue or description of the investment. | CINEMARK USA INC SR SECURED 144A 05/25 8.75 |
| d. CUSIP (if any). | 172441BC0 |
| At least one of the following other identifiers: |
| - ISIN | US172441BC09 |
| - Ticker (if ISIN is not available). | CNK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD3L51 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 385000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 411950.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1167170790 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 114 |
| a. Name of issuer (if any). | Cinemark USA Inc. |
| b. LEI (if any) of issuer. (1) | 54930008H2137JSCPQ09 |
| c. Title of the issue or description of the investment. | CINEMARK USA INC COMPANY GUAR 144A 03/26 5.875 |
| d. CUSIP (if any). | 172441BD8 |
| At least one of the following other identifiers: |
| - ISIN | US172441BD81 |
| - Ticker (if ISIN is not available). | CNK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNBR583 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 420000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 421050.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1192953662 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 115 |
| a. Name of issuer (if any). | Cinemark USA Inc. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CINEMARK USA INC COMPANY GUAR 144A 07/28 5.25 |
| d. CUSIP (if any). | 172441BF3 |
| At least one of the following other identifiers: |
| - ISIN | US172441BF30 |
| - Ticker (if ISIN is not available). | CNK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN0WZH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1650000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1609781.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4560965295 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 116 |
| a. Name of issuer (if any). | Citigroup Inc. |
| b. LEI (if any) of issuer. (1) | 6SHGI4ZSSLCXXQSBB395 |
| c. Title of the issue or description of the investment. | CITIGROUP INC SR UNSECURED 01/22 4.5 |
| d. CUSIP (if any). | 172967FT3 |
| At least one of the following other identifiers: |
| - ISIN | US172967FT34 |
| - Ticker (if ISIN is not available). | C |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBPV6C8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 251999.9300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0713987031 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-01-14 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 117 |
| a. Name of issuer (if any). | Citigroup Inc. |
| b. LEI (if any) of issuer. (1) | 6SHGI4ZSSLCXXQSBB395 |
| c. Title of the issue or description of the investment. | CITIGROUP INC JR SUBORDINA 12/99 VAR |
| d. CUSIP (if any). | 172967MK4 |
| At least one of the following other identifiers: |
| - ISIN | US172967MK42 |
| - Ticker (if ISIN is not available). | C |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKX99Z1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 760312.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2154180219 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.700000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 118 |
| a. Name of issuer (if any). | CITIGROUP COMMERCIAL MORTGAGE TRUST |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2012 GC8 C 144A |
| d. CUSIP (if any). | 17318UAH7 |
| At least one of the following other identifiers: |
| - ISIN | US17318UAH77 |
| - Ticker (if ISIN is not available). | CGCMT |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1005888.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2849965307 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-09-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.875543300000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 119 |
| a. Name of issuer (if any). | City National Bank (California) |
| b. LEI (if any) of issuer. (1) | 593C3GZG957YOJPS2Z63 |
| c. Title of the issue or description of the investment. | CITY NATL BK BEV HILLS SUB NOTES 07/22 5.375 |
| d. CUSIP (if any). | 178180GD1 |
| At least one of the following other identifiers: |
| - ISIN | US178180GD13 |
| - Ticker (if ISIN is not available). | CYN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7YHKC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 517995.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1467628969 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 120 |
| a. Name of issuer (if any). | Clarios Global LP / Clarios US Finance Company Inc |
| b. LEI (if any) of issuer. (1) | 549300474L1ZLXZY2P98 |
| c. Title of the issue or description of the investment. | CLARIOS GLOBAL LP SR SECURED 144A 05/25 6.75 |
| d. CUSIP (if any). | 18060TAA3 |
| At least one of the following other identifiers: |
| - ISIN | US18060TAA34 |
| - Ticker (if ISIN is not available). | POWSOL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLBQ9K6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 45000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 47412.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0134334147 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 121 |
| a. Name of issuer (if any). | Clear Channel Outdoor |
| 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 |
| - Ticker (if ISIN is not available). | CCO |
| Balance. (2) |
| a. Balance | 428615.4500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 421457.5700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1194108423 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.680000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 122 |
| a. Name of issuer (if any). | Clear Channel Outdoor Holdings Inc New |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CLEAR CHANNEL WORLDWIDE SR SECURED 144A 08/27 5.125 |
| d. CUSIP (if any). | 18453HAA4 |
| At least one of the following other identifiers: |
| - ISIN | US18453HAA41 |
| - Ticker (if ISIN is not available). | CCO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9NFT6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 435000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 446201.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1264214263 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 123 |
| a. Name of issuer (if any). | Clear Channel Outdoor Holdings Inc New |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CLEAR CHANNEL OUTDOOR HO COMPANY GUAR 144A 04/28 7.75 |
| d. CUSIP (if any). | 18453HAC0 |
| At least one of the following other identifiers: |
| - ISIN | US18453HAC07 |
| - Ticker (if ISIN is not available). | CCO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9NG16 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 550000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 569500.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1613555181 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 124 |
| a. Name of issuer (if any). | Clearwater Paper Corporation |
| b. LEI (if any) of issuer. (1) | 549300HCVV19GXN4P292 |
| c. Title of the issue or description of the investment. | CLEARWATER PAPER CORP COMPANY GUAR 144A 02/25 5.375 |
| d. CUSIP (if any). | 18538RAH6 |
| At least one of the following other identifiers: |
| - ISIN | US18538RAH66 |
| - Ticker (if ISIN is not available). | CLW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPG2HY7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 377125.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1068501722 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 125 |
| a. Name of issuer (if any). | Clearwater Paper Corporation |
| b. LEI (if any) of issuer. (1) | 549300HCVV19GXN4P292 |
| c. Title of the issue or description of the investment. | CLEARWATER PAPER CORP COMPANY GUAR 144A 08/28 4.75 |
| d. CUSIP (if any). | 18538RAJ2 |
| At least one of the following other identifiers: |
| - ISIN | US18538RAJ23 |
| - Ticker (if ISIN is not available). | CLW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6Q176 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 115000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 116581.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0330307634 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 126 |
| a. Name of issuer (if any). | Clearwater Paper |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CLEARWATER PAPER CORPORATION TERM LOAN B |
| d. CUSIP (if any). | 18538YAD0 |
| At least one of the following other identifiers: |
| - ISIN | US18538YAD04 |
| Balance. (2) |
| a. Balance | 59500.0300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 59351.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0168158952 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-26 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.590000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 127 |
| a. Name of issuer (if any). | Cleveland-Cliffs Inc |
| b. LEI (if any) of issuer. (1) | 549300TM2WLI2BJMDD86 |
| c. Title of the issue or description of the investment. | CLEVELAND CLIFFS INC COMPANY GUAR 06/27 5.875 |
| d. CUSIP (if any). | 185899AH4 |
| At least one of the following other identifiers: |
| - ISIN | US185899AH46 |
| - Ticker (if ISIN is not available). | CLF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF04M8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 540000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 561600.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1591171540 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 128 |
| a. Name of issuer (if any). | Cleveland-Cliffs Inc |
| b. LEI (if any) of issuer. (1) | 549300TM2WLI2BJMDD86 |
| c. Title of the issue or description of the investment. | CLEVELAND CLIFFS INC SR SECURED 144A 10/25 9.875 |
| d. CUSIP (if any). | 185899AJ0 |
| At least one of the following other identifiers: |
| - ISIN | US185899AJ02 |
| - Ticker (if ISIN is not available). | CLF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF0536 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 361000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 413345.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1171123219 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 129 |
| a. Name of issuer (if any). | Cleveland-Cliffs Inc |
| b. LEI (if any) of issuer. (1) | 549300TM2WLI2BJMDD86 |
| c. Title of the issue or description of the investment. | CLEVELAND CLIFFS INC COMPANY GUAR 144A 03/31 4.875 |
| d. CUSIP (if any). | 185899AL5 |
| At least one of the following other identifiers: |
| - ISIN | US185899AL57 |
| - Ticker (if ISIN is not available). | CLF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBRRM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 220000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 229075.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0649034224 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 130 |
| a. Name of issuer (if any). | Coinbase Global Inc |
| b. LEI (if any) of issuer. (1) | 5493004G3J2SC154DU06 |
| c. Title of the issue or description of the investment. | COINBASE GLOBAL INC COMPANY GUAR 144A 10/31 3.625 |
| d. CUSIP (if any). | 19260QAD9 |
| At least one of the following other identifiers: |
| - ISIN | US19260QAD97 |
| - Ticker (if ISIN is not available). | COIN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6KWX1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 630000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 600075.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1700182090 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 131 |
| a. Name of issuer (if any). | Commonspirit Health |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMMONSPIRIT HEALTH SR SECURED 10/49 3.817 |
| d. CUSIP (if any). | 20268JAD5 |
| At least one of the following other identifiers: |
| - ISIN | US20268JAD54 |
| - Ticker (if ISIN is not available). | CATMED |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZ5JS5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 865640.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2452604272 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2049-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.817000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 132 |
| a. Name of issuer (if any). | CommScope |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | COMMSCOPE INC TERM LOAN B |
| d. CUSIP (if any). | 20337EAQ4 |
| At least one of the following other identifiers: |
| - ISIN | US20337EAQ44 |
| Balance. (2) |
| a. Balance | 490000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 483110.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1368788884 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.990000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 133 |
| a. Name of issuer (if any). | CommScope Technologies LLC |
| b. LEI (if any) of issuer. (1) | M4TWC4QDOKW45N7T6Y12 |
| c. Title of the issue or description of the investment. | COMMSCOPE TECH LLC COMPANY GUAR 144A 03/27 5 |
| d. CUSIP (if any). | 20338HAB9 |
| At least one of the following other identifiers: |
| - ISIN | US20338HAB96 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF08257 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1115000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1034540.9300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2931146874 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 134 |
| a. Name of issuer (if any). | CommScope Holdings Co Inc |
| b. LEI (if any) of issuer. (1) | 254900AW4CEPCQWSRI58 |
| c. Title of the issue or description of the investment. | COMMSCOPE INC COMPANY GUAR 144A 03/27 8.25 |
| d. CUSIP (if any). | 20338QAA1 |
| At least one of the following other identifiers: |
| - ISIN | US20338QAA13 |
| - Ticker (if ISIN is not available). | COMM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLN9Y7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1025000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1044413.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2959118655 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 135 |
| a. Name of issuer (if any). | Connect Finco SARL/Connect US Finco LLC |
| b. LEI (if any) of issuer. (1) | 2594001KNYIQ456J2792 |
| c. Title of the issue or description of the investment. | CONNECT FINCO SARL/CONNE SR SECURED 144A 10/26 6.75 |
| d. CUSIP (if any). | 20752TAA2 |
| At least one of the following other identifiers: |
| - ISIN | US20752TAA25 |
| - Ticker (if ISIN is not available). | ISATLN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPGWK6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 778125.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2204648067 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 136 |
| a. Name of issuer (if any). | Consolidated Communications |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CONSOLIDATED COMMUNICATION INC 2021 TL B |
| d. CUSIP (if any). | 20903EBB0 |
| At least one of the following other identifiers: |
| - ISIN | US20903EBB02 |
| Balance. (2) |
| a. Balance | 848000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 847804.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2402071089 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.690000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 137 |
| a. Name of issuer (if any). | Consolidated Communications, Inc. |
| b. LEI (if any) of issuer. (1) | 549300WW675Y48HDVX34 |
| c. Title of the issue or description of the investment. | CONSOLIDATED COMMUNICATI SR SECURED 144A 10/28 6.5 |
| d. CUSIP (if any). | 20903XAF0 |
| At least one of the following other identifiers: |
| - ISIN | US20903XAF06 |
| - Ticker (if ISIN is not available). | CNSL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK811S9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 550000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 585689.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1659423902 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 138 |
| a. Name of issuer (if any). | Cooper Tire & Rubber Company |
| b. LEI (if any) of issuer. (1) | DE46ECQ8KH195MRIQN56 |
| c. Title of the issue or description of the investment. | COOPER TIRE + RUBBER CO SR UNSECURED 03/27 7.625 |
| d. CUSIP (if any). | 216831AB3 |
| At least one of the following other identifiers: |
| - ISIN | US216831AB38 |
| - Ticker (if ISIN is not available). | CTBUS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B0WR7Y1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1710000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2002871.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5674701649 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 139 |
| a. Name of issuer (if any). | Corecivic Inc |
| b. LEI (if any) of issuer. (1) | 529900JFA3K6PTLT8B15 |
| c. Title of the issue or description of the investment. | CORECIVIC INC |
| d. CUSIP (if any). | 21871NAB7 |
| At least one of the following other identifiers: |
| - ISIN | US21871NAB73 |
| - Ticker (if ISIN is not available). | CXW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCRWJ5 |
| Description of other unique identifier. | sedol |
| Balance. (2) |
| a. Balance | 1145000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1170247.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3315641236 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 140 |
| a. Name of issuer (if any). | Corporacion Andina de Fomento |
| b. LEI (if any) of issuer. (1) | UKZ46SXGNYCZK0UOZE76 |
| c. Title of the issue or description of the investment. | CORP ANDINA DE FOMENTO SR UNSECURED 06/22 4.375 |
| d. CUSIP (if any). | 219868BS4 |
| At least one of the following other identifiers: |
| - ISIN | US219868BS46 |
| - Ticker (if ISIN is not available). | CAF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7VZ4D3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 958000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 978585.6100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2772609636 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 141 |
| a. Name of issuer (if any). | 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). | 225401AS7 |
| At least one of the following other identifiers: |
| - ISIN | US225401AS71 |
| - Ticker (if ISIN is not available). | CS |
| Balance. (2) |
| a. Balance | 700000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 680540.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1928162179 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
SWITZERLAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2099-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 142 |
| a. Name of issuer (if any). | Credit Suisse First Boston Mortgage Securities Corp |
| 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 2002 AR25 1A1 |
| d. CUSIP (if any). | 22541NEE5 |
| At least one of the following other identifiers: |
| - ISIN | US22541NEE58 |
| - Ticker (if ISIN is not available). | CSMC |
| Balance. (2) |
| a. Balance | 257330.7800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 254326.8300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0720579796 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-09-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.040084400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 143 |
| a. Name of issuer (if any). | Credit Suisse First Boston Mortgage Securities Corp |
| 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 2003 AR9 2A2 |
| d. CUSIP (if any). | 22541NQ77 |
| At least one of the following other identifiers: |
| - ISIN | US22541NQ774 |
| - Ticker (if ISIN is not available). | CSMC |
| Balance. (2) |
| a. Balance | 10881.7200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11217.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0031782348 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.189801100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 144 |
| a. Name of issuer (if any). | Credit Suisse First Boston Mortgage Securities Corp |
| 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 2003 AR15 3A1 |
| d. CUSIP (if any). | 22541QCV2 |
| At least one of the following other identifiers: |
| - ISIN | US22541QCV23 |
| - Ticker (if ISIN is not available). | CSMC |
| Balance. (2) |
| a. Balance | 35380.2300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 36900.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0104548697 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.3031 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 145 |
| a. Name of issuer (if any). | Crown Cork & Seal Company, Inc. |
| b. LEI (if any) of issuer. (1) | 7HLDMDH0ZXNUH6PT7Z42 |
| c. Title of the issue or description of the investment. | CROWN CORK + SEAL CO INC COMPANY GUAR 12/26 7.375 |
| d. CUSIP (if any). | 228255AH8 |
| At least one of the following other identifiers: |
| - ISIN | US228255AH83 |
| - Ticker (if ISIN is not available). | CCK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2581439 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 922500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2613703250 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 146 |
| a. Name of issuer (if any). | DCP Midstream Operating, LP |
| b. LEI (if any) of issuer. (1) | 549300Y6CTBSE0QIPL28 |
| c. Title of the issue or description of the investment. | DCP MIDSTREAM OPERATING COMPANY GUAR 05/29 5.125 |
| d. CUSIP (if any). | 23311VAH0 |
| At least one of the following other identifiers: |
| - ISIN | US23311VAH06 |
| - Ticker (if ISIN is not available). | DCP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK77J84 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1775000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2010223.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5695529960 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 147 |
| a. Name of issuer (if any). | Site Centers Corp |
| b. LEI (if any) of issuer. (1) | W2AVA6SODOQ1LCYJQR54 |
| c. Title of the issue or description of the investment. | SITE CENTERS CORP SR UNSECURED 06/27 4.7 |
| d. CUSIP (if any). | 23317HAF9 |
| At least one of the following other identifiers: |
| - ISIN | US23317HAF91 |
| - Ticker (if ISIN is not available). | SITC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYZ8KH3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 669690.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1897422535 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.700000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 148 |
| a. Name of issuer (if any). | DT Midstream Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DT MIDSTREAM INC SR UNSECURED 144A 06/29 4.125 |
| d. CUSIP (if any). | 23345MAA5 |
| At least one of the following other identifiers: |
| - ISIN | US23345MAA53 |
| - Ticker (if ISIN is not available). | DTMINC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLN9LF2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 302145.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0856062188 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 149 |
| a. Name of issuer (if any). | DT Midstream Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DT MIDSTREAM INC SR UNSECURED 144A 06/31 4.375 |
| d. CUSIP (if any). | 23345MAB3 |
| At least one of the following other identifiers: |
| - ISIN | US23345MAB37 |
| - Ticker (if ISIN is not available). | DTMINC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLN9LB8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 303948.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0861170597 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 150 |
| a. Name of issuer (if any). | Davita Inc |
| b. LEI (if any) of issuer. (1) | M2XHYMU3TZNEZURC6H66 |
| c. Title of the issue or description of the investment. | DAVITA INC SR UNSECURED 144A 06/30 4.625 |
| d. CUSIP (if any). | 23918KAS7 |
| At least one of the following other identifiers: |
| - ISIN | US23918KAS78 |
| - Ticker (if ISIN is not available). | DVA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW7NB4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 602976.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1708401443 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 151 |
| a. Name of issuer (if any). | Dell International L.L.C. and EMC Corporation |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELL INT LLC / EMC CORP SR SECURED 06/26 6.02 |
| d. CUSIP (if any). | 24703TAD8 |
| At least one of the following other identifiers: |
| - ISIN | US24703TAD81 |
| - Ticker (if ISIN is not available). | DELL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 883753.2200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2503922670 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.020000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 152 |
| a. Name of issuer (if any). | 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 DEL |
| d. CUSIP (if any). | 247361ZT8 |
| At least one of the following other identifiers: |
| - ISIN | US247361ZT81 |
| - Ticker (if ISIN is not available). | DAL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK8VSG6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 710000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 721485.6100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2044172665 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 153 |
| a. Name of issuer (if any). | Delta Air Lines |
| b. LEI (if any) of issuer. (1) | N/A |
| 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 |
| Balance. (2) |
| a. Balance | 910000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 968640.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2744432045 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 154 |
| a. Name of issuer (if any). | Denbury Inc |
| b. LEI (if any) of issuer. (1) | 549300KCWA5W52MS5559 |
| c. Title of the issue or description of the investment. | DENBURY INC COMMON STOCK |
| d. CUSIP (if any). | 24790A101 |
| At least one of the following other identifiers: |
| - ISIN | US24790A1016 |
| - Ticker (if ISIN is not available). | DEN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZQZL2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10597.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 897142.0200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2541856925 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 155 |
| a. Name of issuer (if any). | Dell International L.L.C. and EMC Corporation |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DELL INT LLC / EMC CORP COMPANY GUAR 144A 06/24 7.125 |
| d. CUSIP (if any). | 25272KAW3 |
| At least one of the following other identifiers: |
| - ISIN | US25272KAW36 |
| - Ticker (if ISIN is not available). | DELL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD1JWS8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1143213.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3239047690 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 156 |
| a. Name of issuer (if any). | Diamond Sports Group LLC / Diamond Sports Finance Co |
| b. LEI (if any) of issuer. (1) | 5493002K6DHWNZH8YA34 |
| c. Title of the issue or description of the investment. | DIAMOND SPORTS GR/DIAMON SR SECURED 144A 08/26 5.375 |
| d. CUSIP (if any). | 25277LAA4 |
| At least one of the following other identifiers: |
| - ISIN | US25277LAA44 |
| - Ticker (if ISIN is not available). | DSPORT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKGCH8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 381375.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1080543173 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 157 |
| a. Name of issuer (if any). | Diamond Sports Group LLC / Diamond Sports Finance Co |
| b. LEI (if any) of issuer. (1) | 5493002K6DHWNZH8YA34 |
| c. Title of the issue or description of the investment. | DIAMOND SPORTS GR/DIAMON COMPANY GUAR 144A 08/27 6.625 |
| d. CUSIP (if any). | 25277LAC0 |
| At least one of the following other identifiers: |
| - ISIN | US25277LAC00 |
| - Ticker (if ISIN is not available). | DSPORT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKGCN4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 275000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 82009.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0232355046 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 158 |
| a. Name of issuer (if any). | DIRECTV |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIRECTV FINANCING LLC TERM LOAN |
| d. CUSIP (if any). | 25460HAB8 |
| At least one of the following other identifiers: |
| - ISIN | US25460HAB87 |
| Balance. (2) |
| a. Balance | 1575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1575756.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4464562145 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-22 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.140000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 159 |
| a. Name of issuer (if any). | Directv Financing Llc/Directv Financing Co-Obligor Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | DIRECTV HOLDINGS/FING SR SECURED 144A 08/27 5.875 |
| d. CUSIP (if any). | 25461LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US25461LAA08 |
| - Ticker (if ISIN is not available). | DTV |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN765Z1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 80000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 82932.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0234969797 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 160 |
| a. Name of issuer (if any). | Discover Financial Services |
| b. LEI (if any) of issuer. (1) | Z1YLO2USPORE63VVUL20 |
| c. Title of the issue or description of the investment. | DISCOVER FINANCIAL SVS SR UNSECURED 04/22 5.2 |
| d. CUSIP (if any). | 254709AG3 |
| At least one of the following other identifiers: |
| - ISIN | US254709AG33 |
| - Ticker (if ISIN is not available). | DFS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B92LVK0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 767231.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2173784580 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-04-27 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.200000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 161 |
| a. Name of issuer (if any). | Press Ganey |
| 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 |
| Balance. (2) |
| a. Balance | 980000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 972405.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2755098221 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.760000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 162 |
| a. Name of issuer (if any). | Press Ganey |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PRESS GANEY HOLDINGS INC. 2021 TERM LOAN B |
| d. CUSIP (if any). | 29102TAE2 |
| At least one of the following other identifiers: |
| - ISIN | US29102TAE29 |
| Balance. (2) |
| a. Balance | 468825.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 469411.0300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1329974130 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.930000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 163 |
| a. Name of issuer (if any). | Encino Acquisition Partners Holdings LLC |
| b. LEI (if any) of issuer. (1) | 549300BUKUEKT2UE4T49 |
| c. Title of the issue or description of the investment. | ENCINO ACQUISITION PARTN COMPANY GUAR 144A 05/28 8.5 |
| d. CUSIP (if any). | 29254BAA5 |
| At least one of the following other identifiers: |
| - ISIN | US29254BAA52 |
| - Ticker (if ISIN is not available). | ENCIAC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG0HD6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2450525.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6943029980 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 164 |
| a. Name of issuer (if any). | Encompass Health Corporation |
| b. LEI (if any) of issuer. (1) | 549300FVRPM9DRQZRG64 |
| c. Title of the issue or description of the investment. | ENCOMPASS HEALTH CORP COMPANY GUAR 02/28 4.5 |
| d. CUSIP (if any). | 29261AAA8 |
| At least one of the following other identifiers: |
| - ISIN | US29261AAA88 |
| - Ticker (if ISIN is not available). | EHC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK73CG1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 152714.6300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0432683712 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 165 |
| a. Name of issuer (if any). | Encompass Health Corporation |
| b. LEI (if any) of issuer. (1) | 549300FVRPM9DRQZRG64 |
| c. Title of the issue or description of the investment. | ENCOMPASS HEALTH CORP COMPANY GUAR 02/30 4.75 |
| d. CUSIP (if any). | 29261AAB6 |
| At least one of the following other identifiers: |
| - ISIN | US29261AAB61 |
| - Ticker (if ISIN is not available). | EHC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK7CR30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 179375.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0508220076 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 166 |
| a. Name of issuer (if any). | Encompass Health Corporation |
| b. LEI (if any) of issuer. (1) | 549300FVRPM9DRQZRG64 |
| c. Title of the issue or description of the investment. | ENCOMPASS HEALTH CORP COMPANY GUAR 04/31 4.625 |
| d. CUSIP (if any). | 29261AAE0 |
| At least one of the following other identifiers: |
| - ISIN | US29261AAE01 |
| - Ticker (if ISIN is not available). | EHC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD3QF6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 178062.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0504501393 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 167 |
| a. Name of issuer (if any). | Sompo international Hlds Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SOMPO INTL HLDS LTD SR UNSECURED 07/34 7 |
| d. CUSIP (if any). | 29267HAA7 |
| At least one of the following other identifiers: |
| - ISIN | US29267HAA77 |
| - Ticker (if ISIN is not available). | ENH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG48V42 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 779470.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2208459200 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BERMUDA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 168 |
| a. Name of issuer (if any). | Energy Transfer LP |
| b. LEI (if any) of issuer. (1) | 5493008K8W3OKZE54J59 |
| c. Title of the issue or description of the investment. | ENERGY TRANSFER OPERATNG COMPANY GUAR 02/22 5.2 |
| d. CUSIP (if any). | 29273RAQ2 |
| At least one of the following other identifiers: |
| - ISIN | US29273RAQ20 |
| - Ticker (if ISIN is not available). | ET |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B4NCWP9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 750000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2124961992 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.200000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 169 |
| a. Name of issuer (if any). | Enlink Midstream LLC |
| b. LEI (if any) of issuer. (1) | 54930000GY1H533OBE23 |
| c. Title of the issue or description of the investment. | ENLINK MIDSTREAM LLC COMPANY GUAR 06/29 5.375 |
| d. CUSIP (if any). | 29336TAA8 |
| At least one of the following other identifiers: |
| - ISIN | US29336TAA88 |
| - Ticker (if ISIN is not available). | ENLC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJJZZT2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2050000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2121750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6011517475 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 170 |
| a. Name of issuer (if any). | Enlink Midstream LLC |
| b. LEI (if any) of issuer. (1) | 54930000GY1H533OBE23 |
| c. Title of the issue or description of the investment. | ENLINK MIDSTREAM LLC COMPANY GUAR 144A 01/28 5.625 |
| d. CUSIP (if any). | 29336TAC4 |
| At least one of the following other identifiers: |
| - ISIN | US29336TAC45 |
| - Ticker (if ISIN is not available). | ENLC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCXV00 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 170000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 180256.5300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0510717700 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 171 |
| a. Name of issuer (if any). | Enlink Midstream Partners LP |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | ENLINK MIDSTREAM PARTNER SR UNSECURED 04/44 5.6 |
| d. CUSIP (if any). | 29336UAC1 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAC18 |
| - Ticker (if ISIN is not available). | ENLK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKSKSC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 735675.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2084375218 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2044-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.600000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 172 |
| a. Name of issuer (if any). | Enlink Midstream Partners LP |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | ENLINK MIDSTREAM PARTNER SR UNSECURED 04/45 5.05 |
| d. CUSIP (if any). | 29336UAD9 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAD90 |
| - Ticker (if ISIN is not available). | ENLK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BSM8V15 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1500187.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4250455224 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.050000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 173 |
| a. Name of issuer (if any). | Enviva Partners LP / Enviva Partners Finance Corp |
| b. LEI (if any) of issuer. (1) | 549300WH5VXDEFM5KR81 |
| c. Title of the issue or description of the investment. | ENVIVA PARTNERS LP/FIN C COMPANY GUAR 144A 01/26 6.5 |
| d. CUSIP (if any). | 29413XAD9 |
| At least one of the following other identifiers: |
| - ISIN | US29413XAD93 |
| - Ticker (if ISIN is not available). | EVA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL4PV15 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2327085.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6593291042 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 174 |
| a. Name of issuer (if any). | ExGen Renewables IV |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | EXGEN RENEWABLES IV LLC 2020 TERM LOAN |
| d. CUSIP (if any). | 30204KAD8 |
| At least one of the following other identifiers: |
| - ISIN | US30204KAD81 |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 750532.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2126470715 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.630000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 175 |
| a. Name of issuer (if any). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF MORTGAGE TRUST FREMF 2012 K18 B 144A |
| d. CUSIP (if any). | 30261HAN3 |
| At least one of the following other identifiers: |
| - ISIN | US30261HAN35 |
| - Ticker (if ISIN is not available). | FREMF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B8W1V25 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 810000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 812346.4100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2301606994 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.183177100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 176 |
| a. Name of issuer (if any). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF MORTGAGE TRUST FREMF 2012 K17 B 144A |
| d. CUSIP (if any). | 30263SAE7 |
| At least one of the following other identifiers: |
| - ISIN | US30263SAE72 |
| - Ticker (if ISIN is not available). | FREMF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B73KJF3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 676547.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1916851658 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2044-12-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.492366800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 177 |
| a. Name of issuer (if any). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF MORTGAGE TRUST FREMF 2013 K30 B 144A |
| d. CUSIP (if any). | 30291KAN0 |
| At least one of the following other identifiers: |
| - ISIN | US30291KAN00 |
| - Ticker (if ISIN is not available). | FREMF |
| Balance. (2) |
| a. Balance | 700000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 727512.4500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2061248406 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.555170500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 178 |
| a. Name of issuer (if any). | Fairfax Financial Holdings Limited |
| b. LEI (if any) of issuer. (1) | GLS7OQD0WOEDI8YAP031 |
| c. Title of the issue or description of the investment. | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85 |
| d. CUSIP (if any). | 303901BB7 |
| At least one of the following other identifiers: |
| - ISIN | US303901BB79 |
| - Ticker (if ISIN is not available). | FFHCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJH0PC2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 849991.0300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2408264843 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.850000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 179 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FED HM LN PC POOL G00981 FG 07/28 FIXED 8.5 |
| d. CUSIP (if any). | 31283HCS2 |
| At least one of the following other identifiers: |
| - ISIN | US31283HCS22 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 12823.1200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14303.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0040526992 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 180 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FED HM LN PC POOL 847978 FH 09/32 FLOATING VAR |
| d. CUSIP (if any). | 3128JR2K1 |
| At least one of the following other identifiers: |
| - ISIN | US3128JR2K19 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 334912.5400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 335887.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0951663888 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.727000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 181 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FED HM LN PC POOL 1H1383 FH 02/37 FLOATING VAR |
| d. CUSIP (if any). | 3128NGFY6 |
| At least one of the following other identifiers: |
| - ISIN | US3128NGFY68 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 76157.7700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 81431.1700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0230717522 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2037-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.367000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 182 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FREDDIE MAC FHR 2390 FD |
| d. CUSIP (if any). | 31339LQZ6 |
| At least one of the following other identifiers: |
| - ISIN | US31339LQZ66 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 9065.0400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9085.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0025741166 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.533750000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 183 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FANNIE MAE FNR 1997 20 IO |
| d. CUSIP (if any). | 31359N4H1 |
| At least one of the following other identifiers: |
| - ISIN | US31359N4H12 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 63373.2700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 910.5300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0002579789 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.840000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 184 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FANNIE MAE FNR 2001 25 Z |
| d. CUSIP (if any). | 31359ST75 |
| At least one of the following other identifiers: |
| - ISIN | US31359ST757 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 40122.6700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 44669.0300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0126559988 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 185 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FHLMC MULTIFAMILY STRUCTURED P FHMS K016 X1 |
| d. CUSIP (if any). | 3137AJMG6 |
| At least one of the following other identifiers: |
| - ISIN | US3137AJMG62 |
| - Ticker (if ISIN is not available). | FHLMC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDHDJT4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 90755.8100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.0900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000000255 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2021-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.398130000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 186 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FREDDIE MAC FHR 3987 CI |
| d. CUSIP (if any). | 3137AKGA3 |
| At least one of the following other identifiers: |
| - ISIN | US3137AKGA30 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 1353498.7000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 23356.2400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0066174830 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 187 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FHLMC MULTIFAMILY STRUCTURED P FHMS K020 X1 |
| d. CUSIP (if any). | 3137ATRX2 |
| At least one of the following other identifiers: |
| - ISIN | US3137ATRX23 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 5554395.3500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 23392.8900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0066278670 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-05-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.337383000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 188 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FANNIE MAE FNR 2001 35 F |
| d. CUSIP (if any). | 313920TH3 |
| At least one of the following other identifiers: |
| - ISIN | US313920TH38 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 2211.1400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2232.2100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0006324482 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.686000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 189 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FANNIE MAE FNR 2001 57 F |
| d. CUSIP (if any). | 313921JD1 |
| At least one of the following other identifiers: |
| - ISIN | US313921JD17 |
| - Ticker (if ISIN is not available). | FNMA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B2B2SS2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2226.1200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2253.4700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0006384717 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.586000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 190 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FANNIE MAE FNR 2002 77 FH |
| d. CUSIP (if any). | 31392F6H5 |
| At least one of the following other identifiers: |
| - ISIN | US31392F6H58 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 14288.5500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14325.0200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0040586831 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-12-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.487380000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 191 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FANNIE MAE FNR 2002 97 FR |
| d. CUSIP (if any). | 31392HFB4 |
| At least one of the following other identifiers: |
| - ISIN | US31392HFB42 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 3490.3800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3520.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0009975705 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.636000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 192 |
| a. Name of issuer (if any). | Federal Home Loan Mortgage Corporation |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | FREDDIE MAC FHR 2567 FH |
| d. CUSIP (if any). | 31393K5E1 |
| At least one of the following other identifiers: |
| - ISIN | US31393K5E19 |
| - Ticker (if ISIN is not available). | FHLMC |
| Balance. (2) |
| a. Balance | 29301.7600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 28826.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0081674246 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.483750000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 193 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FNMA POOL 684472 FN 09/30 FIXED 7.5 |
| d. CUSIP (if any). | 31400DMV1 |
| At least one of the following other identifiers: |
| - ISIN | US31400DMV19 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 10035.7200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10110.6100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0028646216 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 194 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FNMA POOL 689681 FN 02/30 FIXED 7.5 |
| d. CUSIP (if any). | 31400KFW1 |
| At least one of the following other identifiers: |
| - ISIN | US31400KFW18 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 6451.6100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6497.0600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0018408007 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 195 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FNMA POOL 724298 FN 04/33 FIXED 6 |
| d. CUSIP (if any). | 31402BUX0 |
| At least one of the following other identifiers: |
| - ISIN | US31402BUX09 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 48893.3000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 50473.2100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0143004870 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 196 |
| a. Name of issuer (if any). | Federal National Mortgage Association |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | FNMA POOL 956614 FN 09/37 FLOATING VAR |
| d. CUSIP (if any). | 31413VGX9 |
| At least one of the following other identifiers: |
| - ISIN | US31413VGX91 |
| - Ticker (if ISIN is not available). | FNMA |
| Balance. (2) |
| a. Balance | 13209.9900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 13272.7600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0037605481 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government sponsored entity
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2037-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.890000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 197 |
| a. Name of issuer (if any). | GIP II Blue Holding/HESM Holdco |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GIP II BLUE HOLDING L P TERM LOAN B |
| d. CUSIP (if any). | 31575AAB3 |
| At least one of the following other identifiers: |
| - ISIN | US31575AAB35 |
| Balance. (2) |
| a. Balance | 760000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 761428.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2157343013 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-29 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.620000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 198 |
| a. Name of issuer (if any). | Firstcash inc |
| b. LEI (if any) of issuer. (1) | 549300V2X3UU7K0DG350 |
| c. Title of the issue or description of the investment. | FIRSTCASH INC COMPANY GUAR 144A 09/28 4.625 |
| d. CUSIP (if any). | 33767DAB1 |
| At least one of the following other identifiers: |
| - ISIN | US33767DAB10 |
| - Ticker (if ISIN is not available). | FCFS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKSGZH1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 445000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 458906.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1300211119 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 199 |
| a. Name of issuer (if any). | Five Guys Funding LLC |
| b. LEI (if any) of issuer. (1) | 549300LV8X8T05G1H175 |
| c. Title of the issue or description of the investment. | FIVE GUYS FUNDING, LLC GUYS 2017 1A A2 144A |
| d. CUSIP (if any). | 33830JAA3 |
| At least one of the following other identifiers: |
| - ISIN | US33830JAA34 |
| - Ticker (if ISIN is not available). | GUYS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ30JZ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 992500.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1037473.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2939454682 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2047-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.600000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 200 |
| a. Name of issuer (if any). | Novolex |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Novolex Term Loan B 325 2025-06-06 |
| d. CUSIP (if any). | 33936HAH5 |
| At least one of the following other identifiers: |
| - ISIN | US33936HAH57 |
| Balance. (2) |
| a. Balance | 725009.0300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 719034.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2037229281 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-06-29 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.580000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 201 |
| a. Name of issuer (if any). | Novolex |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FLEX ACQUISITION COMPANY INC 2021 TERM LOAN |
| d. CUSIP (if any). | 33936HAJ1 |
| At least one of the following other identifiers: |
| - ISIN | US33936HAJ14 |
| Balance. (2) |
| a. Balance | 696500.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 694368.7100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1967342823 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-23 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.690000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 202 |
| a. Name of issuer (if any). | Flex Acquisition Company, Inc. |
| b. LEI (if any) of issuer. (1) | 549300HHED2KGPBEDW39 |
| c. Title of the issue or description of the investment. | FLEX ACQUISITION CO INC SR UNSECURED 144A 01/25 6.875 |
| d. CUSIP (if any). | 33936YAA3 |
| At least one of the following other identifiers: |
| - ISIN | US33936YAA38 |
| - Ticker (if ISIN is not available). | FLXACQ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDHTRW1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 900000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 909000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2575453934 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 203 |
| a. Name of issuer (if any). | Flex Acquisition Company, Inc. |
| b. LEI (if any) of issuer. (1) | 549300HHED2KGPBEDW39 |
| c. Title of the issue or description of the investment. | FLEX ACQUISITION CO INC SR UNSECURED 144A 07/26 7.875 |
| d. CUSIP (if any). | 33936YAC9 |
| At least one of the following other identifiers: |
| - ISIN | US33936YAC93 |
| - Ticker (if ISIN is not available). | FLXACQ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZLNC5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 430000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 448894.2300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1271844236 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 204 |
| a. Name of issuer (if any). | Flexential Intermediate Corporation |
| b. LEI (if any) of issuer. (1) | 549300M6D163XS0DO113 |
| c. Title of the issue or description of the investment. | FLEXENTIAL INTERMEDIATE SR SECURED 144A 08/24 11.25 |
| d. CUSIP (if any). | 33938DAA7 |
| At least one of the following other identifiers: |
| - ISIN | US33938DAA72 |
| - Ticker (if ISIN is not available). | PEAKTE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB1WW1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1060000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3003279615 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 205 |
| a. Name of issuer (if any). | 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 04/25 9 |
| d. CUSIP (if any). | 345370CW8 |
| At least one of the following other identifiers: |
| - ISIN | US345370CW84 |
| - Ticker (if ISIN is not available). | F |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWWS70 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 120250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0340702239 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 206 |
| a. Name of issuer (if any). | 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 04/30 9.625 |
| d. CUSIP (if any). | 345370CX6 |
| At least one of the following other identifiers: |
| - ISIN | US345370CX67 |
| - Ticker (if ISIN is not available). | F |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWWS81 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 144063.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0408171199 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-04-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 207 |
| a. Name of issuer (if any). | Ford Motor Credit Company LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC SR UNSECURED 06/25 5.125 |
| d. CUSIP (if any). | 345397A60 |
| At least one of the following other identifiers: |
| - ISIN | US345397A605 |
| - Ticker (if ISIN is not available). | F |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYNYX9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 244125.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0691675128 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-06-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 208 |
| a. Name of issuer (if any). | Ford Motor Credit Company LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/30 4 |
| d. CUSIP (if any). | 345397B36 |
| At least one of the following other identifiers: |
| - ISIN | US345397B363 |
| - Ticker (if ISIN is not available). | F |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMX50B6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 590000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 615812.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1744770876 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-11-13 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 209 |
| a. Name of issuer (if any). | Ford Motor Credit Company LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/26 4.389 |
| d. CUSIP (if any). | 345397XU2 |
| At least one of the following other identifiers: |
| - ISIN | US345397XU23 |
| - Ticker (if ISIN is not available). | F |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD0SY80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1450000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1551500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4395838041 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-01-08 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.389000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 210 |
| a. Name of issuer (if any). | Ford Motor Credit Company LLC |
| b. LEI (if any) of issuer. (1) | UDSQCVRUX5BONN0VY111 |
| c. Title of the issue or description of the investment. | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/29 5.113 |
| d. CUSIP (if any). | 345397ZR7 |
| At least one of the following other identifiers: |
| - ISIN | US345397ZR75 |
| - Ticker (if ISIN is not available). | F |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJYMJ29 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2416968.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6847955639 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-03 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.113000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 211 |
| a. Name of issuer (if any). | 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 |
| - Ticker (if ISIN is not available). | FTAI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFD2RL7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1140000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1173117.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3323772049 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 212 |
| a. Name of issuer (if any). | 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 08/27 9.75 |
| d. CUSIP (if any). | 34960PAC5 |
| At least one of the following other identifiers: |
| - ISIN | US34960PAC59 |
| - Ticker (if ISIN is not available). | FTAI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMY7XQ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 225250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0638196918 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 213 |
| a. Name of issuer (if any). | 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 05/28 5.5 |
| d. CUSIP (if any). | 34960PAD3 |
| At least one of the following other identifiers: |
| - ISIN | US34960PAD33 |
| - Ticker (if ISIN is not available). | FTAI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD14K1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1915000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1919787.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5439300627 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 214 |
| a. Name of issuer (if any). | Frontier Communications Parent Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FRONTIER COMMUNICATIONS SR SECURED 144A 10/27 5.875 |
| d. CUSIP (if any). | 35906ABE7 |
| At least one of the following other identifiers: |
| - ISIN | US35906ABE73 |
| - Ticker (if ISIN is not available). | FTR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHL2W5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 180000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 188550.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0534215445 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 215 |
| a. Name of issuer (if any). | Frontier Communications |
| 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 |
| Balance. (2) |
| a. Balance | 487550.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 486574.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1378604225 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.950000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 216 |
| a. Name of issuer (if any). | 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 |
| - Ticker (if ISIN is not available). | FYBR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTVRK6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 90000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 90425.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0256201567 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 217 |
| a. Name of issuer (if any). | GS Mortgage Securities Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GS MORTGAGE SECURITIES TRUST GSMS 2012 GCJ7 XA |
| d. CUSIP (if any). | 36192KAW7 |
| At least one of the following other identifiers: |
| - ISIN | US36192KAW71 |
| - Ticker (if ISIN is not available). | GSMS |
| Balance. (2) |
| a. Balance | 1081602.1900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2443.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0006922673 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-05-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.762732900000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 218 |
| a. Name of issuer (if any). | Government National Mortgage Association |
| b. LEI (if any) of issuer. (1) | 549300M8ZYFG0OCMTT87 |
| c. Title of the issue or description of the investment. | GNMA POOL 462763 GN 06/28 FIXED 6.5 |
| d. CUSIP (if any). | 36208WB85 |
| At least one of the following other identifiers: |
| - ISIN | US36208WB850 |
| - Ticker (if ISIN is not available). | GNR |
| Balance. (2) |
| a. Balance | 12428.6600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 13890.6600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0039356166 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
U.S. government agency
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 219 |
| a. Name of issuer (if any). | GS Mortgage Securities Corp |
| b. LEI (if any) of issuer. (1) | CU46ESEFJB81SUVBJO28 |
| c. Title of the issue or description of the investment. | GSAA HOME EQUITY TRUST GSAA 2004 5 AF5 |
| d. CUSIP (if any). | 36228F5F9 |
| At least one of the following other identifiers: |
| - ISIN | US36228F5F94 |
| - Ticker (if ISIN is not available). | GSMS |
| Balance. (2) |
| a. Balance | 64.4700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64.5300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000182832 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.360562700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 220 |
| a. Name of issuer (if any). | Gs Mortgage Securities Trust 2010-C1 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GS MORTGAGE SECURITIES TRUST GSMS 2010 C1 X 144A |
| d. CUSIP (if any). | 36249KAE0 |
| At least one of the following other identifiers: |
| - ISIN | US36249KAE01 |
| - Ticker (if ISIN is not available). | GSMS |
| Balance. (2) |
| a. Balance | 1322796.2900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6412.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0018168850 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2043-08-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.733191700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 221 |
| a. Name of issuer (if any). | GS MORTGAGE SECURITIES CORPORTAION TRUST |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE D 144A |
| d. CUSIP (if any). | 36258BAQ1 |
| At least one of the following other identifiers: |
| - ISIN | US36258BAQ14 |
| - Ticker (if ISIN is not available). | GSMS |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 996850.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2824358665 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2036-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.989999600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 222 |
| a. Name of issuer (if any). | GS MORTGAGE SECURITIES TRUST |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GS MORTGAGE SECURITIES TRUST GSMS 2019 GSA1 C |
| d. CUSIP (if any). | 36261PAZ5 |
| At least one of the following other identifiers: |
| - ISIN | US36261PAZ53 |
| - Ticker (if ISIN is not available). | GSMS |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1048183.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2969800131 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2052-11-10 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.804690000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 223 |
| a. Name of issuer (if any). | Gates Global |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GATES GLOBAL LLC 2021 TERM LOAN B3 |
| d. CUSIP (if any). | 36740UAT9 |
| At least one of the following other identifiers: |
| - ISIN | US36740UAT97 |
| Balance. (2) |
| a. Balance | 480389.3200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 478986.5800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1357104369 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.930000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 224 |
| a. Name of issuer (if any). | GEO Group |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GEO GROUP INC TERM LOAN |
| d. CUSIP (if any). | 37252KAP7 |
| At least one of the following other identifiers: |
| - ISIN | US37252KAP75 |
| Balance. (2) |
| a. Balance | 1891856.9400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1758348.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4981898591 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-03-22 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.340000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 225 |
| a. Name of issuer (if any). | Enact Holdings Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GENWORTH MORTGAGE HLDING SR UNSECURED 144A 08/25 6.5 |
| d. CUSIP (if any). | 37255LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US37255LAA52 |
| - Ticker (if ISIN is not available). | GNW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV9TZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1890000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2069550.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5863620120 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 226 |
| a. Name of issuer (if any). | Global Mortgage Securitization Ltd. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GLOBAL MORTGAGE SECURITIZATION GMSL 2004 A A2 144A |
| d. CUSIP (if any). | 378961AB2 |
| At least one of the following other identifiers: |
| - ISIN | US378961AB20 |
| - Ticker (if ISIN is not available). | GMSL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B07V4H0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 33911.9900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 33119.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0093835913 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2032-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.425299800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 227 |
| a. Name of issuer (if any). | Goldman Sachs Group, Inc. |
| b. LEI (if any) of issuer. (1) | 784F5XWPLTWKTBV3E584 |
| c. Title of the issue or description of the investment. | GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75 |
| d. CUSIP (if any). | 38141GGS7 |
| At least one of the following other identifiers: |
| - ISIN | US38141GGS75 |
| - Ticker (if ISIN is not available). | GS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B94Q103 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 759310.3700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2151340902 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-01-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 228 |
| a. Name of issuer (if any). | Government National Mortgage Association |
| b. LEI (if any) of issuer. (1) | 549300M8ZYFG0OCMTT87 |
| c. Title of the issue or description of the investment. | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H06 HI |
| d. CUSIP (if any). | 38381TB61 |
| At least one of the following other identifiers: |
| - ISIN | US38381TB610 |
| - Ticker (if ISIN is not available). | GNR |
| Balance. (2) |
| a. Balance | 4475544.7100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 197998.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0560984583 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government agency
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2069-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.796930000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 229 |
| a. Name of issuer (if any). | Graham Packaging/Reynolds Group Holdings |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GRAHAM PACKAGING COMPANY, INC. 2021 TERM LOAN |
| d. CUSIP (if any). | 38469EAD5 |
| At least one of the following other identifiers: |
| - ISIN | US38469EAD58 |
| Balance. (2) |
| a. Balance | 536119.5000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 534655.8900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1514831260 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-04 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.190000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 230 |
| a. Name of issuer (if any). | Gray Escrow II Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GRAY ESCROW II INC SR UNSECURED 144A 11/31 5.375 |
| d. CUSIP (if any). | 389286AA3 |
| At least one of the following other identifiers: |
| - ISIN | US389286AA34 |
| - Ticker (if ISIN is not available). | GTN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM93J39 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1410000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1424100.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4034877830 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 231 |
| a. Name of issuer (if any). | Gray Television, Inc. |
| b. LEI (if any) of issuer. (1) | 529900TM5726KDN7UU35 |
| c. Title of the issue or description of the investment. | GRAY TELEVISION INC COMPANY GUAR 144A 10/30 4.75 |
| d. CUSIP (if any). | 389375AL0 |
| At least one of the following other identifiers: |
| - ISIN | US389375AL09 |
| - Ticker (if ISIN is not available). | GTN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXWF01 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1850000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1824807.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5170196318 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 232 |
| a. Name of issuer (if any). | Great Lakes Dredge & Dock Corporation |
| b. LEI (if any) of issuer. (1) | 549300H65E3MZ1CX0P05 |
| c. Title of the issue or description of the investment. | GREAT LAKES DREDGE+DOCK COMPANY GUAR 144A 06/29 5.25 |
| d. CUSIP (if any). | 390607AF6 |
| At least one of the following other identifiers: |
| - ISIN | US390607AF62 |
| - Ticker (if ISIN is not available). | GLDD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC2Y05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1565000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1592027.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4510664045 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 233 |
| a. Name of issuer (if any). | Griffin Coal Mining Company Pty Ltd. |
| b. LEI (if any) of issuer. (1) | 98450062A5DBFF1A8463 |
| c. Title of the issue or description of the investment. | GRIFFIN COAL MINING CO SR UNSECURED 144A 12/16 9.5 |
| d. CUSIP (if any). | 398186AA4 |
| At least one of the following other identifiers: |
| - ISIN | US398186AA44 |
| - Ticker (if ISIN is not available). | LANCI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1HDK97 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1110230.0600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.0100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000000028 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
AUSTRALIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.500000000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 234 |
| a. Name of issuer (if any). | Grifols Escrow Issuer S A U |
| b. LEI (if any) of issuer. (1) | 959800HLB3PGTGSLVV62 |
| c. Title of the issue or description of the investment. | GRIFOLS ESCROW ISSUER SR UNSECURED 144A 10/28 4.75 |
| d. CUSIP (if any). | 39843UAA0 |
| At least one of the following other identifiers: |
| - ISIN | US39843UAA07 |
| - Ticker (if ISIN is not available). | GRFSM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP4YZP2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 230000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 233450.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0661429836 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
SPAIN
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 235 |
| a. Name of issuer (if any). | Group 1 Automotive, Inc. |
| b. LEI (if any) of issuer. (1) | 549300US8QAZJLWYAF63 |
| c. Title of the issue or description of the investment. | GROUP 1 AUTOMOTIVE INC COMPANY GUAR 144A 08/28 4 |
| d. CUSIP (if any). | 398905AN9 |
| At least one of the following other identifiers: |
| - ISIN | US398905AN98 |
| - Ticker (if ISIN is not available). | GPI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMD7LD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 620000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 620124.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1756986574 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 236 |
| a. Name of issuer (if any). | Harvest Midstream I LP |
| b. LEI (if any) of issuer. (1) | 549300DW5M17KJOXCY66 |
| c. Title of the issue or description of the investment. | HARVEST MIDSTREAM I LP SR UNSECURED 144A 09/28 7.5 |
| d. CUSIP (if any). | 417558AA1 |
| At least one of the following other identifiers: |
| - ISIN | US417558AA18 |
| - Ticker (if ISIN is not available). | HARMID |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF3RK6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 760000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 798000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2260959559 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 237 |
| a. Name of issuer (if any). | HAT Holdings I LLC and HAT Holdings II LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 06/26 3.375 |
| d. CUSIP (if any). | 418751AE3 |
| At least one of the following other identifiers: |
| - ISIN | US418751AE33 |
| - Ticker (if ISIN is not available). | HASI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7TVQ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 630000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 624487.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1769349603 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 238 |
| a. Name of issuer (if any). | Hawaiian Holdings Inc. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HAWAIIAN AIRLINES 13 1A PASS THRU CE 07/27 3.9 |
| d. CUSIP (if any). | 419838AA5 |
| At least one of the following other identifiers: |
| - ISIN | US419838AA57 |
| - Ticker (if ISIN is not available). | HA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B99L590 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 818223.6500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 813177.2600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2303961027 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.900000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 239 |
| a. Name of issuer (if any). | Hawaiian Brand Intellectual Property Limited / Hawaiianmiles Loyalty Limited |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HAWAIIAN BRAND INTELLECT SR SECURED 144A 01/26 5.75 |
| d. CUSIP (if any). | 41984LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US41984LAA52 |
| - Ticker (if ISIN is not available). | HA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGWDD7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2370000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2488500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7050623889 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-01-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 240 |
| a. Name of issuer (if any). | Encompass Health Corporation |
| b. LEI (if any) of issuer. (1) | 549300FVRPM9DRQZRG64 |
| c. Title of the issue or description of the investment. | ENCOMPASS HEALTH CORP COMPANY GUAR 09/25 5.75 |
| d. CUSIP (if any). | 421924BT7 |
| At least one of the following other identifiers: |
| - ISIN | US421924BT72 |
| - Ticker (if ISIN is not available). | EHC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD9NRZ4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 587218.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1663756700 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 241 |
| a. Name of issuer (if any). | Hess Midstream Operations LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HESS MIDSTREAM OPERATION COMPANY GUAR 144A 02/30 4.25 |
| d. CUSIP (if any). | 428102AE7 |
| At least one of the following other identifiers: |
| - ISIN | US428102AE79 |
| - Ticker (if ISIN is not available). | HESM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9STG7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 630000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 630000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1784968073 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 242 |
| a. Name of issuer (if any). | HP Inc |
| b. LEI (if any) of issuer. (1) | WHKXQACZ14C5XRO8LW03 |
| c. Title of the issue or description of the investment. | HP INC SR UNSECURED 09/22 4.05 |
| d. CUSIP (if any). | 428236BX0 |
| At least one of the following other identifiers: |
| - ISIN | US428236BX09 |
| - Ticker (if ISIN is not available). | HPQ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBMSWB3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 770871.7900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2184097672 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.050000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 243 |
| a. Name of issuer (if any). | Hilcorp Energy I L.P/Hilcorp Finance Co |
| b. LEI (if any) of issuer. (1) | 549300ITPIHLG0LHEC09 |
| c. Title of the issue or description of the investment. | HILCORP ENERGY I/HILCORP SR UNSECURED 144A 11/28 6.25 |
| d. CUSIP (if any). | 431318AS3 |
| At least one of the following other identifiers: |
| - ISIN | US431318AS36 |
| - Ticker (if ISIN is not available). | HILCRP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG4THM5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 359205.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1017729296 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 244 |
| a. Name of issuer (if any). | Hilcorp Energy I L.P/Hilcorp Finance Co |
| b. LEI (if any) of issuer. (1) | 549300ITPIHLG0LHEC09 |
| c. Title of the issue or description of the investment. | HILCORP ENERGY I/HILCORP SR UNSECURED 144A 02/29 5.75 |
| d. CUSIP (if any). | 431318AU8 |
| At least one of the following other identifiers: |
| - ISIN | US431318AU81 |
| - Ticker (if ISIN is not available). | HILCRP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6JRZ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 274050.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0776461112 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 245 |
| a. Name of issuer (if any). | Hilcorp Energy I L.P/Hilcorp Finance Co |
| b. LEI (if any) of issuer. (1) | 549300ITPIHLG0LHEC09 |
| c. Title of the issue or description of the investment. | HILCORP ENERGY I/HILCORP SR UNSECURED 144A 02/31 6 |
| d. CUSIP (if any). | 431318AV6 |
| At least one of the following other identifiers: |
| - ISIN | US431318AV64 |
| - Ticker (if ISIN is not available). | HILCRP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6JRX9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 277120.8200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0785161613 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 246 |
| a. Name of issuer (if any). | Service Properties Trust |
| b. LEI (if any) of issuer. (1) | 529900IS770AG1K9QG27 |
| c. Title of the issue or description of the investment. | SERVICE PROPERTIES TRUST SR UNSECURED 02/27 4.95 |
| d. CUSIP (if any). | 44106MAW2 |
| At least one of the following other identifiers: |
| - ISIN | US44106MAW29 |
| - Ticker (if ISIN is not available). | SVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYW0MN2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2260000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2226100.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6307170520 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.950000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 247 |
| a. Name of issuer (if any). | Service Properties Trust |
| b. LEI (if any) of issuer. (1) | 529900IS770AG1K9QG27 |
| c. Title of the issue or description of the investment. | SERVICE PROPERTIES TRUST SR UNSECURED 01/28 3.95 |
| d. CUSIP (if any). | 44106MAX0 |
| At least one of the following other identifiers: |
| - ISIN | US44106MAX02 |
| - Ticker (if ISIN is not available). | SVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ3CYL6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 385000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 358050.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1014456855 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.950000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 248 |
| a. Name of issuer (if any). | Service Properties Trust |
| b. LEI (if any) of issuer. (1) | 529900IS770AG1K9QG27 |
| c. Title of the issue or description of the investment. | SERVICE PROPERTIES TRUST SR UNSECURED 10/26 4.75 |
| d. CUSIP (if any). | 44106MBA9 |
| At least one of the following other identifiers: |
| - ISIN | US44106MBA99 |
| - Ticker (if ISIN is not available). | SVC |
| Balance. (2) |
| a. Balance | 545000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 539005.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1527153518 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 249 |
| a. Name of issuer (if any). | Hub International |
| b. LEI (if any) of issuer. (1) | 549300JQT6ATTUNS5E06 |
| c. Title of the issue or description of the investment. | HUB INTL LTD TERM LOAN B 1 |
| d. CUSIP (if any). | 44332EAP1 |
| At least one of the following other identifiers: |
| - ISIN | US44332EAP16 |
| - Ticker (if ISIN is not available). | HBGCN |
| Balance. (2) |
| a. Balance | 1209375.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1195358.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3386788052 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.360000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 250 |
| a. Name of issuer (if any). | Hub International Limited |
| b. LEI (if any) of issuer. (1) | 549300JQT6ATTUNS5E06 |
| c. Title of the issue or description of the investment. | HUB INTERNATIONAL LTD SR UNSECURED 144A 05/26 7 |
| d. CUSIP (if any). | 44332PAD3 |
| At least one of the following other identifiers: |
| - ISIN | US44332PAD33 |
| - Ticker (if ISIN is not available). | HBGCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXTLW7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 550000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 567187.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1607002506 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 251 |
| a. Name of issuer (if any). | HUBBARD RADIO LLC 2015 TERM LOAN B |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HUBBARD RADIO LLC 2015 TERM LOAN B |
| d. CUSIP (if any). | 44344HAH8 |
| At least one of the following other identifiers: |
| - ISIN | US44344HAH84 |
| Balance. (2) |
| a. Balance | 2098426.0200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2097544.6800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5942936962 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-03-28 |
| 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 Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 252 |
| a. Name of issuer (if any). | Cenovus Energy Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | HUSKY ENERGY INC SR UNSECURED 04/29 4.4 |
| d. CUSIP (if any). | 448055AP8 |
| At least one of the following other identifiers: |
| - ISIN | US448055AP89 |
| - Ticker (if ISIN is not available). | CVECN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJMGV16 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 838705.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2376289180 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.400000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 253 |
| a. Name of issuer (if any). | IAA, Inc. |
| b. LEI (if any) of issuer. (1) | 549300PZCOPC5178W747 |
| c. Title of the issue or description of the investment. | IAA INC SR UNSECURED 144A 06/27 5.5 |
| d. CUSIP (if any). | 449253AB9 |
| At least one of the following other identifiers: |
| - ISIN | US449253AB91 |
| - Ticker (if ISIN is not available). | IAASPI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVH897 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1700000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1765875.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5003223010 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 254 |
| a. Name of issuer (if any). | Intelsat Jackson Holdings, Ltd. |
| 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 |
| - Ticker (if ISIN is not available). | INTEL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7SP46 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2160750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6122015499 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 255 |
| a. Name of issuer (if any). | Iqvia Inc |
| b. LEI (if any) of issuer. (1) | 549300PLWY28YB00C717 |
| c. Title of the issue or description of the investment. | IQVIA INC COMPANY GUAR 144A 05/27 5 |
| d. CUSIP (if any). | 46266TAA6 |
| At least one of the following other identifiers: |
| - ISIN | US46266TAA60 |
| - Ticker (if ISIN is not available). | IQV |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK62T46 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 259142.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0734223951 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 256 |
| a. Name of issuer (if any). | JP Morgan Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 2A1 |
| d. CUSIP (if any). | 466247CW1 |
| At least one of the following other identifiers: |
| - ISIN | US466247CW14 |
| - Ticker (if ISIN is not available). | JPMMT |
| Balance. (2) |
| a. Balance | 2816.9800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2913.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0008255619 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.239979600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 257 |
| a. Name of issuer (if any). | JP Morgan Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 3A3 |
| d. CUSIP (if any). | 466247CZ4 |
| At least one of the following other identifiers: |
| - ISIN | US466247CZ45 |
| - Ticker (if ISIN is not available). | JPMMT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1G4B87 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 19397.0100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 19310.7600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0054712841 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.381637400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 258 |
| a. Name of issuer (if any). | JP Morgan Mortgage Trust |
| 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 A3 11A2 |
| d. CUSIP (if any). | 466247QY2 |
| At least one of the following other identifiers: |
| - ISIN | US466247QY24 |
| - Ticker (if ISIN is not available). | JPMMT |
| Balance. (2) |
| a. Balance | 78422.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 80094.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0226929366 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2035-06-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.529637800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 259 |
| a. Name of issuer (if any). | J.P. Morgan Chase Commercial Mortgage Securities Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2012 C6 E 144A |
| d. CUSIP (if any). | 46634SAM7 |
| At least one of the following other identifiers: |
| - ISIN | US46634SAM70 |
| - Ticker (if ISIN is not available). | JPMCC |
| Balance. (2) |
| a. Balance | 520000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 389015.2800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1102190246 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.138799400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 260 |
| a. Name of issuer (if any). | JPMBB Commercial Mortgage Securities Trust 2013-C17 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C17 B |
| d. CUSIP (if any). | 46640UAJ1 |
| At least one of the following other identifiers: |
| - ISIN | US46640UAJ16 |
| - Ticker (if ISIN is not available). | JPMBB |
| Balance. (2) |
| a. Balance | 50000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 53003.7700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0150174662 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2047-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.885969100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 261 |
| a. Name of issuer (if any). | Jefferies Finance LLC/JFIN Co-Issuer Corp |
| b. LEI (if any) of issuer. (1) | 549300SKVB18YSSIDT75 |
| c. Title of the issue or description of the investment. | JEFFERIES FIN LLC / JFIN SR UNSECURED 144A 08/28 5 |
| d. CUSIP (if any). | 47232MAF9 |
| At least one of the following other identifiers: |
| - ISIN | US47232MAF95 |
| - Ticker (if ISIN is not available). | JEFFIN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP83D39 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 875000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 886865.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2512739223 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 262 |
| a. Name of issuer (if any). | JPMorgan Chase & Co. |
| b. LEI (if any) of issuer. (1) | 8I5DZWZKVSZI1NUHU748 |
| c. Title of the issue or description of the investment. | JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR |
| d. CUSIP (if any). | 48124BAC9 |
| At least one of the following other identifiers: |
| - ISIN | US48124BAC90 |
| - Ticker (if ISIN is not available). | JPM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B89FHW2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 770985.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2184418428 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2049-12-29 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.150000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 263 |
| a. Name of issuer (if any). | Kaiser Aluminium Corporation |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | KAISER ALUMINUM CORP COMPANY GUAR 144A 03/28 4.625 |
| d. CUSIP (if any). | 483007AJ9 |
| At least one of the following other identifiers: |
| - ISIN | US483007AJ91 |
| - Ticker (if ISIN is not available). | KALU |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKQQ380 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 303660.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0860354611 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 264 |
| a. Name of issuer (if any). | Keysight Technologies, Inc. |
| b. LEI (if any) of issuer. (1) | 549300GLKVIO8YRCYN02 |
| c. Title of the issue or description of the investment. | KEYSIGHT TECHNOLOGIES SR UNSECURED 04/27 4.6 |
| d. CUSIP (if any). | 49338LAE3 |
| At least one of the following other identifiers: |
| - ISIN | US49338LAE39 |
| - Ticker (if ISIN is not available). | KEYS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD1WWT8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 678824.5800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1923301909 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-06 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.600000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 265 |
| a. Name of issuer (if any). | Kinder Morgan Energy Partners LP |
| b. LEI (if any) of issuer. (1) | 549300PDHUGWPWGOT525 |
| c. Title of the issue or description of the investment. | KINDER MORGAN ENER PART COMPANY GUAR 09/22 3.95 |
| d. CUSIP (if any). | 494550BL9 |
| At least one of the following other identifiers: |
| - ISIN | US494550BL94 |
| - Ticker (if ISIN is not available). | KMI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B76YC20 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 765156.6300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2167905009 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.950000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 266 |
| a. Name of issuer (if any). | Lfs Topco Llc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LFS TOPCO LLC COMPANY GUAR 144A 10/26 5.875 |
| d. CUSIP (if any). | 50203TAA4 |
| At least one of the following other identifiers: |
| - ISIN | US50203TAA43 |
| - Ticker (if ISIN is not available). | LENDMK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNZJCZ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 455000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 468081.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1326206487 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 267 |
| a. Name of issuer (if any). | LPL Holdings Inc. |
| b. LEI (if any) of issuer. (1) | 549300Z5YF8CCRMYUL26 |
| c. Title of the issue or description of the investment. | LPL HOLDINGS INC COMPANY GUAR 144A 05/31 4.375 |
| d. CUSIP (if any). | 50212YAF1 |
| At least one of the following other identifiers: |
| - ISIN | US50212YAF16 |
| - Ticker (if ISIN is not available). | LPLA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYY658 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1220000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1248975.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3538699205 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 268 |
| a. Name of issuer (if any). | Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LADDER CAP FIN LLLP/CORP COMPANY GUAR 144A 10/25 5.25 |
| d. CUSIP (if any). | 505742AG1 |
| At least one of the following other identifiers: |
| - ISIN | US505742AG11 |
| - Ticker (if ISIN is not available). | LADR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0WZ72 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1385000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1395387.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3953527202 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 269 |
| a. Name of issuer (if any). | Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LADDER CAP FIN LLLP/CORP COMPANY GUAR 144A 02/27 4.25 |
| d. CUSIP (if any). | 505742AM8 |
| At least one of the following other identifiers: |
| - ISIN | US505742AM88 |
| - Ticker (if ISIN is not available). | LADR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVB6G2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 850000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 854241.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2420307626 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 270 |
| a. Name of issuer (if any). | Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LADDER CAP FIN LLLP/CORP COMPANY GUAR 144A 06/29 4.75 |
| d. CUSIP (if any). | 505742AP1 |
| At least one of the following other identifiers: |
| - ISIN | US505742AP10 |
| - Ticker (if ISIN is not available). | LADR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNHV192 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1070000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1078025.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3054349535 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 271 |
| a. Name of issuer (if any). | Ladder Capital Corporation |
| b. LEI (if any) of issuer. (1) | 549300Q6LLV2QCV67C06 |
| c. Title of the issue or description of the investment. | LADDER CAPITAL CORP REIT REIT USD.001 |
| d. CUSIP (if any). | 505743104 |
| At least one of the following other identifiers: |
| - ISIN | US5057431042 |
| - Ticker (if ISIN is not available). | LADR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ367P1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 41398.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 496776.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1407506825 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 272 |
| a. Name of issuer (if any). | Level 3 Financing, Inc. |
| b. LEI (if any) of issuer. (1) | 254900AE5FEFIJOXWL19 |
| c. Title of the issue or description of the investment. | LEVEL 3 FINANCING INC COMPANY GUAR 144A 07/28 4.25 |
| d. CUSIP (if any). | 527298BR3 |
| At least one of the following other identifiers: |
| - ISIN | US527298BR35 |
| - Ticker (if ISIN is not available). | LVLT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTR5N3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 370740.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1050411212 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 273 |
| a. Name of issuer (if any). | Level 3 Financing, Inc. |
| b. LEI (if any) of issuer. (1) | 254900AE5FEFIJOXWL19 |
| c. Title of the issue or description of the investment. | LEVEL 3 FINANCING INC COMPANY GUAR 144A 01/29 3.625 |
| d. CUSIP (if any). | 527298BS1 |
| At least one of the following other identifiers: |
| - ISIN | US527298BS18 |
| - Ticker (if ISIN is not available). | LVLT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFNF35 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 402139.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1139374162 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 274 |
| a. Name of issuer (if any). | Liberty Mutual Group, Inc. |
| b. LEI (if any) of issuer. (1) | QUR0DG15Z6FFGYCHH861 |
| c. Title of the issue or description of the investment. | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/29 4.569 |
| d. CUSIP (if any). | 53079EBG8 |
| At least one of the following other identifiers: |
| - ISIN | US53079EBG89 |
| - Ticker (if ISIN is not available). | LIBMUT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHWZ164 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 865348.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2451776953 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.569000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 275 |
| a. Name of issuer (if any). | Lithia Motors Incorporated |
| b. LEI (if any) of issuer. (1) | SE8N1EZEHPZQBCBVKD53 |
| c. Title of the issue or description of the investment. | LITHIA MOTORS INC COMPANY GUAR 144A 12/27 4.625 |
| d. CUSIP (if any). | 536797AE3 |
| At least one of the following other identifiers: |
| - ISIN | US536797AE38 |
| - Ticker (if ISIN is not available). | LAD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL0PJ59 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 158586.7700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0449321145 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 276 |
| a. Name of issuer (if any). | Lithia Motors Incorporated |
| b. LEI (if any) of issuer. (1) | SE8N1EZEHPZQBCBVKD53 |
| c. Title of the issue or description of the investment. | LITHIA MOTORS INC SR UNSECURED 144A 06/29 3.875 |
| d. CUSIP (if any). | 536797AG8 |
| At least one of the following other identifiers: |
| - ISIN | US536797AG85 |
| - Ticker (if ISIN is not available). | LAD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9BQR6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 390000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 404137.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1145035769 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 277 |
| a. Name of issuer (if any). | Live Nation Entertainment, Inc. |
| b. LEI (if any) of issuer. (1) | 5493007B9BM9ZXJINO78 |
| c. Title of the issue or description of the investment. | LIVE NATION ENTERTAINMEN COMPANY GUAR 144A 03/26 5.625 |
| d. CUSIP (if any). | 538034AN9 |
| At least one of the following other identifiers: |
| - ISIN | US538034AN93 |
| - Ticker (if ISIN is not available). | LYV |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYVTQ72 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 228000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 235695.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0667790556 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 278 |
| a. Name of issuer (if any). | Live Nation Entertainment, Inc. |
| b. LEI (if any) of issuer. (1) | 5493007B9BM9ZXJINO78 |
| c. Title of the issue or description of the investment. | LIVE NATION ENTERTAINMEN SR SECURED 144A 05/27 6.5 |
| d. CUSIP (if any). | 538034AV1 |
| At least one of the following other identifiers: |
| - ISIN | US538034AV10 |
| - Ticker (if ISIN is not available). | LYV |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFKW46 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1025000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1122375.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3180005621 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 279 |
| a. Name of issuer (if any). | Live Nation Entertainment, Inc. |
| b. LEI (if any) of issuer. (1) | 5493007B9BM9ZXJINO78 |
| c. Title of the issue or description of the investment. | LIVE NATION ENTERTAINMEN SR SECURED 144A 01/28 3.75 |
| d. CUSIP (if any). | 538034AX7 |
| At least one of the following other identifiers: |
| - ISIN | US538034AX75 |
| - Ticker (if ISIN is not available). | LYV |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7RJ07 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 220000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 217800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0617088962 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 280 |
| a. Name of issuer (if any). | MedRisk |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MEDRISK INC 2021 TERM LOAN B |
| d. CUSIP (if any). | 54317EAB0 |
| At least one of the following other identifiers: |
| - ISIN | US54317EAB02 |
| Balance. (2) |
| a. Balance | 780000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 780163.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2210424563 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-10 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.950000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 281 |
| a. Name of issuer (if any). | Mmaf Equip Fin Llc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MMAF EQUIPMENT FINANCE LLC MMAF 2017 AA A4 144A |
| d. CUSIP (if any). | 55315XAD3 |
| At least one of the following other identifiers: |
| - ISIN | US55315XAD30 |
| - Ticker (if ISIN is not available). | MMAF |
| Balance. (2) |
| a. Balance | 9711.8000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9726.8600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0027558944 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-08-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.410000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 282 |
| a. Name of issuer (if any). | 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 COMPANY GUAR 144A 11/28 5.75 |
| d. CUSIP (if any). | 553283AC6 |
| At least one of the following other identifiers: |
| - ISIN | US553283AC69 |
| - Ticker (if ISIN is not available). | MLTPLN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2B8J6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1940000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1769464.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5013392511 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 283 |
| a. Name of issuer (if any). | 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 09/28 5.5 |
| d. CUSIP (if any). | 553283AD4 |
| At least one of the following other identifiers: |
| - ISIN | US553283AD43 |
| - Ticker (if ISIN is not available). | MLTPLN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH8323 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 640000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 635540.9300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1800667094 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 284 |
| a. Name of issuer (if any). | MPT Operating Partnership LP / MPT Finance Corporation |
| b. LEI (if any) of issuer. (1) | WUQXXXF7PXTUPGROE843 |
| c. Title of the issue or description of the investment. | MPT OPER PARTNERSP/FINL COMPANY GUAR 08/26 5.25 |
| d. CUSIP (if any). | 55342UAG9 |
| At least one of the following other identifiers: |
| - ISIN | US55342UAG94 |
| - Ticker (if ISIN is not available). | MPW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDG10L8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1622250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4596292788 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 285 |
| a. Name of issuer (if any). | Magellan Health Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MAGELLAN HEALTH SRVCS SR UNSECURED 09/24 4.9 |
| d. CUSIP (if any). | 559079AK4 |
| At least one of the following other identifiers: |
| - ISIN | US559079AK49 |
| - Ticker (if ISIN is not available). | MGLN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYZ98C7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 325000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 355800.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1008082677 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-09-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.900000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 286 |
| a. Name of issuer (if any). | Mastr Adjustable Rate Mortgages Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1 |
| d. CUSIP (if any). | 576433GF7 |
| At least one of the following other identifiers: |
| - ISIN | US576433GF78 |
| - Ticker (if ISIN is not available). | MARM |
| Balance. (2) |
| a. Balance | 79562.9100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 83153.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0235596916 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-12-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.297465900000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 287 |
| a. Name of issuer (if any). | Mastr Adjustable Rate Mortgages Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 4A2 |
| d. CUSIP (if any). | 576433GH3 |
| At least one of the following other identifiers: |
| - ISIN | US576433GH35 |
| - Ticker (if ISIN is not available). | MARM |
| Balance. (2) |
| a. Balance | 3668.1600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3914.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0011092018 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.089643600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 288 |
| a. Name of issuer (if any). | Mastr Adjustable Rate Mortgages Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7 |
| d. CUSIP (if any). | 576433UM6 |
| At least one of the following other identifiers: |
| - ISIN | US576433UM63 |
| - Ticker (if ISIN is not available). | MARM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7LX1L4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5079.5300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5155.4800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0014606932 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-11-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.724390000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 289 |
| a. Name of issuer (if any). | Merrill Lynch Mortgage Investors, Inc. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MLCC MORTGAGE INVESTORS INC MLCC 2003 G A2 |
| d. CUSIP (if any). | 5899295W4 |
| At least one of the following other identifiers: |
| - ISIN | US5899295W46 |
| - Ticker (if ISIN is not available). | OPT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B013BY8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 30690.6900000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 30788.5100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0087232551 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.858749200000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 290 |
| a. Name of issuer (if any). | Meritor Inc |
| b. LEI (if any) of issuer. (1) | 5LTG829X630QFHTFBO82 |
| c. Title of the issue or description of the investment. | MERITOR INC COMPANY GUAR 144A 12/28 4.5 |
| d. CUSIP (if any). | 59001KAH3 |
| At least one of the following other identifiers: |
| - ISIN | US59001KAH32 |
| - Ticker (if ISIN is not available). | MTOR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6KMF3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 597000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1691469746 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 291 |
| a. Name of issuer (if any). | MetLife Inc. |
| b. LEI (if any) of issuer. (1) | C4BXATY60WC6XEOZDX54 |
| c. Title of the issue or description of the investment. | METLIFE INC JR SUBORDINA 12/66 6.4 |
| d. CUSIP (if any). | 59156RAP3 |
| At least one of the following other identifiers: |
| - ISIN | US59156RAP38 |
| - Ticker (if ISIN is not available). | MET |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1L8RP3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1273431.2700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3607990731 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2066-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.400000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 292 |
| a. Name of issuer (if any). | Mid-State Bankshar |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MID STATE TRUST MDST 11 A1 |
| d. CUSIP (if any). | 59549WAA1 |
| At least one of the following other identifiers: |
| - ISIN | US59549WAA18 |
| - Ticker (if ISIN is not available). | MDST |
| Balance. (2) |
| a. Balance | 109725.3300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 114422.9100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0324192446 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2038-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.864000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 293 |
| a. Name of issuer (if any). | Mileage Plus Hldgs Llc / Mileage Plus Intellectual Property Assets Ltd |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MILEAGE PLUS HLDINGS LLC SR SECURED 144A 06/27 6.5 |
| d. CUSIP (if any). | 599191AA1 |
| At least one of the following other identifiers: |
| - ISIN | US599191AA16 |
| - Ticker (if ISIN is not available). | UAL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGHHT6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1278823.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3623267026 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 294 |
| a. Name of issuer (if any). | United Airlines (United Milage Plus) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MILEAGE PLUS HOLDINGS LLC 2020 TERM LOAN B |
| d. CUSIP (if any). | 59921PAB2 |
| At least one of the following other identifiers: |
| - ISIN | US59921PAB22 |
| Balance. (2) |
| a. Balance | 2885000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3070736.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8700263899 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.530000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 295 |
| a. Name of issuer (if any). | Montana Higher Education Student Loan Association |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MONTANA HIGHER EDUCATION STUDE MHESA 2012 1 A2 |
| d. CUSIP (if any). | 61205PAK5 |
| At least one of the following other identifiers: |
| - ISIN | US61205PAK57 |
| - Ticker (if ISIN is not available). | MHESA |
| Balance. (2) |
| a. Balance | 167605.5700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 168148.5100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0476412257 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-05-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.087379600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 296 |
| a. Name of issuer (if any). | Morgan Stanley |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MORGAN STANLEY BAML TRUST MSBAM 2013 C7 D 144A |
| d. CUSIP (if any). | 61690KAL6 |
| At least one of the following other identifiers: |
| - ISIN | US61690KAL61 |
| - Ticker (if ISIN is not available). | MS |
| Balance. (2) |
| a. Balance | 692000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 516965.7300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1464710036 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2046-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.234320800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 297 |
| a. Name of issuer (if any). | Morgan Stanley ML |
| 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 2004 4 2A |
| d. CUSIP (if any). | 61748HDQ1 |
| At least one of the following other identifiers: |
| - ISIN | US61748HDQ11 |
| - Ticker (if ISIN is not available). | MSM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B02RRB8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 17686.1600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 19437.1400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0055070912 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-09-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.379620100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 298 |
| a. Name of issuer (if any). | MStanley Cap I Tr |
| b. LEI (if any) of issuer. (1) | 5493005SNWQW3UUOQX45 |
| c. Title of the issue or description of the investment. | MORGAN STANLEY CAPITAL I TRUST MSC 2012 C4 C 144A |
| d. CUSIP (if any). | 61760VAD5 |
| At least one of the following other identifiers: |
| - ISIN | US61760VAD55 |
| - Ticker (if ISIN is not available). | MSC |
| Balance. (2) |
| a. Balance | 900000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 899053.4700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2547272603 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.366407400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 299 |
| a. Name of issuer (if any). | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MORGAN STANLEY BAML TRUST MSBAM 2012 C5 XA 144A |
| d. CUSIP (if any). | 61761AAA6 |
| At least one of the following other identifiers: |
| - ISIN | US61761AAA60 |
| - Ticker (if ISIN is not available). | MSBAM |
| Balance. (2) |
| a. Balance | 3458124.7700000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14999.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0042499127 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.363407800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 300 |
| a. Name of issuer (if any). | Morgan Stanley BAML Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MORGAN STANLEY BAML TRUST MSBAM 2013 C11 A4 |
| d. CUSIP (if any). | 61762TAE6 |
| At least one of the following other identifiers: |
| - ISIN | US61762TAE64 |
| - Ticker (if ISIN is not available). | MSBAM |
| Balance. (2) |
| a. Balance | 569000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 594900.5400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1685521382 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2046-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.151370800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 301 |
| a. Name of issuer (if any). | Mozart Debt Merger Subordinated Incorporated |
| 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 |
| - Ticker (if ISIN is not available). | MEDIND |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWDGR9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1192625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3379043727 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 302 |
| a. Name of issuer (if any). | Murphy Oil Corporation |
| b. LEI (if any) of issuer. (1) | QBKYQD0ODE7DC7PDIN91 |
| c. Title of the issue or description of the investment. | MURPHY OIL CORP SR UNSECURED 08/25 5.75 |
| d. CUSIP (if any). | 626717AJ1 |
| At least one of the following other identifiers: |
| - ISIN | US626717AJ13 |
| - Ticker (if ISIN is not available). | MUR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDH65V7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 185000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 189625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0537261224 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 303 |
| a. Name of issuer (if any). | Murphy Oil Corporation |
| b. LEI (if any) of issuer. (1) | QBKYQD0ODE7DC7PDIN91 |
| c. Title of the issue or description of the investment. | MURPHY OIL CORP SR UNSECURED 12/27 5.875 |
| d. CUSIP (if any). | 626717AM4 |
| At least one of the following other identifiers: |
| - ISIN | US626717AM42 |
| - Ticker (if ISIN is not available). | MUR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV9C80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 156187.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0442523335 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 304 |
| a. Name of issuer (if any). | Murphy Oil Corporation |
| b. LEI (if any) of issuer. (1) | QBKYQD0ODE7DC7PDIN91 |
| c. Title of the issue or description of the investment. | MURPHY OIL CORP SR UNSECURED 07/28 6.375 |
| d. CUSIP (if any). | 626717AN2 |
| At least one of the following other identifiers: |
| - ISIN | US626717AN25 |
| - Ticker (if ISIN is not available). | MUR |
| Balance. (2) |
| a. Balance | 1230000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1299255.1500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3681157082 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 305 |
| a. Name of issuer (if any). | NCR Corporation |
| b. LEI (if any) of issuer. (1) | 549300YKTY8JX1DV2R67 |
| c. Title of the issue or description of the investment. | NCR CORP COMPANY GUAR 144A 09/29 6.125 |
| d. CUSIP (if any). | 62886EAV0 |
| At least one of the following other identifiers: |
| - ISIN | US62886EAV02 |
| - Ticker (if ISIN is not available). | NCR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK20CJ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1074386.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3044039219 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 306 |
| a. Name of issuer (if any). | NCR Corporation |
| b. LEI (if any) of issuer. (1) | 549300YKTY8JX1DV2R67 |
| c. Title of the issue or description of the investment. | NCR CORP COMPANY GUAR 144A 04/29 5.125 |
| d. CUSIP (if any). | 62886EBA5 |
| At least one of the following other identifiers: |
| - ISIN | US62886EBA55 |
| - Ticker (if ISIN is not available). | NCR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6KR10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 195000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 199403.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0564965345 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 307 |
| a. Name of issuer (if any). | 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 |
| - Ticker (if ISIN is not available). | NCLH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMQ5DX6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2064352.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5848894134 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BERMUDA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 12.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 308 |
| a. Name of issuer (if any). | NCL Corporation Ltd. |
| b. LEI (if any) of issuer. (1) | UNZWILHE4KMRP9K2L524 |
| c. Title of the issue or description of the investment. | NCL CORPORATION LTD COMPANY GUAR 144A 03/26 5.875 |
| d. CUSIP (if any). | 62886HBA8 |
| At least one of the following other identifiers: |
| - ISIN | US62886HBA86 |
| - Ticker (if ISIN is not available). | NCLH |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB5SR0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 910000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 912275.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2584732935 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BERMUDA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 309 |
| a. Name of issuer (if any). | Nmg Holding Company Incorporated |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NMG HLDCO/NEIMAN MARCUS SR SECURED 144A 04/26 7.125 |
| d. CUSIP (if any). | 62929RAC2 |
| At least one of the following other identifiers: |
| - ISIN | US62929RAC25 |
| - Ticker (if ISIN is not available). | NMG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNRLH72 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1040000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1092312.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3094828644 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 310 |
| a. Name of issuer (if any). | NSG Holdings LLC |
| b. LEI (if any) of issuer. (1) | 549300A6PICRLGB0C769 |
| c. Title of the issue or description of the investment. | NSG HOLDINGS LLC/NSG HLD SR SECURED 144A 12/25 7.75 |
| d. CUSIP (if any). | 62940QAA3 |
| At least one of the following other identifiers: |
| - ISIN | US62940QAA31 |
| - Ticker (if ISIN is not available). | NSGHLD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1TSCP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2052609.9400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2196292.6400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6222717844 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 311 |
| a. Name of issuer (if any). | Nabors Industries, Inc. |
| b. LEI (if any) of issuer. (1) | 549300VFQWRKICUFNU92 |
| c. Title of the issue or description of the investment. | NABORS INDUSTRIES INC COMPANY GUAR 144A 02/25 9 |
| d. CUSIP (if any). | 62957HAH8 |
| At least one of the following other identifiers: |
| - ISIN | US62957HAH84 |
| - Ticker (if ISIN is not available). | NBR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKY6C63 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 78000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 80730.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0228730909 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 312 |
| a. Name of issuer (if any). | Civitas (fka National Mentor) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NATIONAL MENTOR HOLDINGS INC 2021 TERM LOAN |
| d. CUSIP (if any). | 63689EAR6 |
| At least one of the following other identifiers: |
| - ISIN | US63689EAR62 |
| Balance. (2) |
| a. Balance | 1459243.0100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1449509.8600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4106871146 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.940000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 313 |
| a. Name of issuer (if any). | NATIONAL MENTOR HOLDINGS, INC. 2021 DELAYED DRAW TERM LOAN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NATIONAL MENTOR HOLDINGS, INC. 2021 DELAYED DRAW TERM LOAN |
| d. CUSIP (if any). | 63689EAS4 |
| At least one of the following other identifiers: |
| - ISIN | US63689EAS46 |
| Balance. (2) |
| a. Balance | 69617.4800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 69153.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0195930364 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-02 |
| 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 Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 314 |
| a. Name of issuer (if any). | NATIONAL MENTOR HOLDINGS INC 2021 TERM LOAN C |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NATIONAL MENTOR HOLDINGS INC 2021 TERM LOAN C |
| d. CUSIP (if any). | 63689EAT2 |
| At least one of the following other identifiers: |
| - ISIN | US63689EAT29 |
| Balance. (2) |
| a. Balance | 47230.3500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 46915.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0132924362 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.50 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 315 |
| a. Name of issuer (if any). | NatWest Group PLC |
| b. LEI (if any) of issuer. (1) | 2138005O9XJIJN4JPN90 |
| c. Title of the issue or description of the investment. | NATWEST GROUP PLC SUBORDINATED 11/35 VAR |
| d. CUSIP (if any). | 639057AB4 |
| At least one of the following other identifiers: |
| - ISIN | US639057AB46 |
| - Ticker (if ISIN is not available). | NWG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZMFP4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 995038.5400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2819225437 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2035-11-28 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.032000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 316 |
| a. Name of issuer (if any). | Navient Corporation |
| b. LEI (if any) of issuer. (1) | 54930067J0ZNOEBRW338 |
| c. Title of the issue or description of the investment. | NAVIENT CORP SR UNSECURED 03/27 5 |
| d. CUSIP (if any). | 63938CAK4 |
| At least one of the following other identifiers: |
| - ISIN | US63938CAK45 |
| - Ticker (if ISIN is not available). | NAVI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL97KP3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1215000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1238971.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3510357737 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 317 |
| a. Name of issuer (if any). | New Century Home Equity Loan Trust 2005-1 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1 |
| d. CUSIP (if any). | 64352VHV6 |
| At least one of the following other identifiers: |
| - ISIN | US64352VHV62 |
| - Ticker (if ISIN is not available). | NCHET |
| Balance. (2) |
| a. Balance | 848348.0300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 846444.0800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2398215331 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.016000100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 318 |
| a. Name of issuer (if any). | New Fortress Energy Llc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NEW FORTRESS ENERGY INC SR SECURED 144A 09/26 6.5 |
| d. CUSIP (if any). | 644393AB6 |
| At least one of the following other identifiers: |
| - ISIN | US644393AB64 |
| - Ticker (if ISIN is not available). | NFE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP0X973 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1815000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1763889.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4997597811 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 319 |
| a. Name of issuer (if any). | Nexstar Broadcasting Inc |
| b. LEI (if any) of issuer. (1) | 5493006PK6I4I2OOT688 |
| c. Title of the issue or description of the investment. | NEXSTAR BROADCASTING INC SR UNSECURED 144A 11/28 4.75 |
| d. CUSIP (if any). | 65336YAN3 |
| At least one of the following other identifiers: |
| - ISIN | US65336YAN31 |
| - Ticker (if ISIN is not available). | NXST |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFNGQ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 459742.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1302580451 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 320 |
| a. Name of issuer (if any). | NextEra Energy Operating Partners LP |
| b. LEI (if any) of issuer. (1) | 549300KJEC5IUVJWR786 |
| c. Title of the issue or description of the investment. | NEXTERA ENERGY OPERATING COMPANY GUAR 144A 09/27 4.5 |
| d. CUSIP (if any). | 65342QAB8 |
| At least one of the following other identifiers: |
| - ISIN | US65342QAB86 |
| - Ticker (if ISIN is not available). | NEP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ6CT29 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1250000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1337250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3788807232 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 321 |
| a. Name of issuer (if any). | NextEra Energy Operating Partners LP |
| b. LEI (if any) of issuer. (1) | 549300KJEC5IUVJWR786 |
| c. Title of the issue or description of the investment. | NEXTERA ENERGY OPERATING COMPANY GUAR 144A 09/24 4.25 |
| d. CUSIP (if any). | 65342QAC6 |
| At least one of the following other identifiers: |
| - ISIN | US65342QAC69 |
| - Ticker (if ISIN is not available). | NEP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ6CLN4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 16000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 16840.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0047712480 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 322 |
| a. Name of issuer (if any). | NextEra Energy Operating Partners LP |
| b. LEI (if any) of issuer. (1) | 549300KJEC5IUVJWR786 |
| c. Title of the issue or description of the investment. | NEXTERA ENERGY OPERATING COMPANY GUAR 144A 07/24 4.25 |
| d. CUSIP (if any). | 65342QAK8 |
| At least one of the following other identifiers: |
| - ISIN | US65342QAK85 |
| - Ticker (if ISIN is not available). | NEP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ7HPT0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 775000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 820492.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2324687170 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 323 |
| a. Name of issuer (if any). | Nexstar Escrow Inc |
| b. LEI (if any) of issuer. (1) | 5493006PK6I4I2OOT688 |
| c. Title of the issue or description of the investment. | NEXSTAR BROADCASTING INC COMPANY GUAR 144A 07/27 5.625 |
| d. CUSIP (if any). | 65343HAA9 |
| At least one of the following other identifiers: |
| - ISIN | US65343HAA95 |
| - Ticker (if ISIN is not available). | NXST |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJXR8L7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2110000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5978226404 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 324 |
| a. Name of issuer (if any). | Nielsen Finance LLC/Nielsen Finance Co |
| b. LEI (if any) of issuer. (1) | UJ76Y189LDMPCOCW7204 |
| c. Title of the issue or description of the investment. | NIELSEN FINANCE LLC/CO COMPANY GUAR 144A 10/28 5.625 |
| d. CUSIP (if any). | 65409QBD3 |
| At least one of the following other identifiers: |
| - ISIN | US65409QBD34 |
| - Ticker (if ISIN is not available). | NLSN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8ZLH4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1255000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1304867.5500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3697058598 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 325 |
| a. Name of issuer (if any). | Nielsen Finance LLC/Nielsen Finance Co |
| b. LEI (if any) of issuer. (1) | UJ76Y189LDMPCOCW7204 |
| c. Title of the issue or description of the investment. | NIELSEN FINANCE LLC/CO COMPANY GUAR 144A 10/30 5.875 |
| d. CUSIP (if any). | 65409QBF8 |
| At least one of the following other identifiers: |
| - ISIN | US65409QBF81 |
| - Ticker (if ISIN is not available). | NLSN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8ZLL8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1884240.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5338584511 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 326 |
| a. Name of issuer (if any). | Nordstrom, Inc. |
| b. LEI (if any) of issuer. (1) | 549300S3IZB5P35KNV16 |
| c. Title of the issue or description of the investment. | NORDSTROM INC |
| d. CUSIP (if any). | 655664AS9 |
| At least one of the following other identifiers: |
| - ISIN | US655664AS97 |
| - Ticker (if ISIN is not available). | JWN2 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYXCM71 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 770625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2183398447 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 327 |
| a. Name of issuer (if any). | Northriver Midstream Finance LP |
| b. LEI (if any) of issuer. (1) | 549300SOLNLY3BL6GF18 |
| c. Title of the issue or description of the investment. | NORTHRIVER MIDSTREAM FIN SR SECURED 144A 02/26 5.625 |
| d. CUSIP (if any). | 66679NAA8 |
| At least one of the following other identifiers: |
| - ISIN | US66679NAA81 |
| - Ticker (if ISIN is not available). | NORMID |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8GNV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1227000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1266877.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3589422048 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 328 |
| a. Name of issuer (if any). | Occidental Petroleum Corporation |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | OCCIDENTAL PETROLEUM COR SR UNSECURED 06/45 4.625 |
| d. CUSIP (if any). | 674599CF0 |
| At least one of the following other identifiers: |
| - ISIN | US674599CF00 |
| - Ticker (if ISIN is not available). | OXY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQ27T5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1825000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1888875.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5351716777 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2045-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 329 |
| a. Name of issuer (if any). | Occidental Petroleum Corporation |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | OCCIDENTAL PETROLEUM COR SR UNSECURED 09/36 6.45 |
| d. CUSIP (if any). | 674599DF9 |
| At least one of the following other identifiers: |
| - ISIN | US674599DF90 |
| - Ticker (if ISIN is not available). | OXY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK8VN61 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3190000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4059275.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1501073453 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2036-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.450000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 330 |
| a. Name of issuer (if any). | Occidental Petroleum Corporation |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | OCCIDENTAL PETROLEUM COR SR UNSECURED 03/40 6.2 |
| d. CUSIP (if any). | 674599DJ1 |
| At least one of the following other identifiers: |
| - ISIN | US674599DJ13 |
| - Ticker (if ISIN is not available). | OXY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJCRNM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 514915.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1458900107 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2040-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.200000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 331 |
| a. Name of issuer (if any). | Oceaneering International, Inc. |
| b. LEI (if any) of issuer. (1) | 549300L6PH74701W0R30 |
| c. Title of the issue or description of the investment. | OCEANEERING INTL INC SR UNSECURED 11/24 4.65 |
| d. CUSIP (if any). | 675232AA0 |
| At least one of the following other identifiers: |
| - ISIN | US675232AA07 |
| - Ticker (if ISIN is not available). | OII |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BSSWDV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 145000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 150618.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0426745492 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.650000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 332 |
| a. Name of issuer (if any). | Oceaneering International, Inc. |
| b. LEI (if any) of issuer. (1) | 549300L6PH74701W0R30 |
| c. Title of the issue or description of the investment. | OCEANEERING INTL INC SR UNSECURED 02/28 6 |
| d. CUSIP (if any). | 675232AB8 |
| At least one of the following other identifiers: |
| - ISIN | US675232AB89 |
| - Ticker (if ISIN is not available). | OII |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF3SS34 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1580000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1624808.8000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4603542592 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 333 |
| a. Name of issuer (if any). | OI European Group B.V. |
| b. LEI (if any) of issuer. (1) | 72450053F5WRDY8CDZ66 |
| c. Title of the issue or description of the investment. | OI EUROPEAN GROUP BV COMPANY GUAR 144A 03/23 4 |
| d. CUSIP (if any). | 67777LAC7 |
| At least one of the following other identifiers: |
| - ISIN | US67777LAC72 |
| - Ticker (if ISIN is not available). | OI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD1DFC5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1125025.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3187513820 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 334 |
| a. Name of issuer (if any). | Olympus Water Us Holding Corporation |
| b. LEI (if any) of issuer. (1) | 549300YU2GGVCBN3MY89 |
| c. Title of the issue or description of the investment. | OLYMPUS WTR US HLDG CORP SR SECURED 144A 10/28 4.25 |
| d. CUSIP (if any). | 681639AA8 |
| At least one of the following other identifiers: |
| - ISIN | US681639AA87 |
| - Ticker (if ISIN is not available). | SOLEIN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP0TWM7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 442462.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1253621327 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 335 |
| a. Name of issuer (if any). | Omega Healthcare Investors, Inc. |
| b. LEI (if any) of issuer. (1) | 549300OJ7ENK42CZ8E73 |
| c. Title of the issue or description of the investment. | OMEGA HLTHCARE INVESTORS COMPANY GUAR 04/27 4.5 |
| d. CUSIP (if any). | 681936BF6 |
| At least one of the following other identifiers: |
| - ISIN | US681936BF65 |
| - Ticker (if ISIN is not available). | OHI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYY2WG9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 662738.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1877724449 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 336 |
| a. Name of issuer (if any). | 180 Medical Incorporated |
| b. LEI (if any) of issuer. (1) | 254900ZB648OPWVFVX59 |
| c. Title of the issue or description of the investment. | 180 MEDICAL INC COMPANY GUAR 144A 10/29 3.875 |
| d. CUSIP (if any). | 682357AA6 |
| At least one of the following other identifiers: |
| - ISIN | US682357AA69 |
| - Ticker (if ISIN is not available). | CTECLN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXD8B6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 475000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 477677.8100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1353396254 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 337 |
| a. Name of issuer (if any). | Oppenheimer Holdings Inc. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | OPPENHEIMER HOLDINGS INC SR SECURED 10/25 5.5 |
| d. CUSIP (if any). | 683797AF1 |
| At least one of the following other identifiers: |
| - ISIN | US683797AF11 |
| - Ticker (if ISIN is not available). | OPY |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN6Q819 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1260000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3569936146 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 338 |
| a. Name of issuer (if any). | Option One Mortgage Acceptance Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MESA TRUST ASSET BACKED CERTIF MESA 2001 5 A 144A |
| d. CUSIP (if any). | 68400XAA8 |
| At least one of the following other identifiers: |
| - ISIN | US68400XAA81 |
| - Ticker (if ISIN is not available). | OOMLT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2919104 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3672.9500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3667.8800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0010392141 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-12-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.885997800000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 339 |
| a. Name of issuer (if any). | Ortho Clinical Diagnostics Inc / Ortho Clinical Diagnostics S A |
| b. LEI (if any) of issuer. (1) | 5493006VJVVGE5PD4517 |
| c. Title of the issue or description of the investment. | ORTHO CLINICAL INC/SA SR UNSECURED 144A 02/28 7.25 |
| d. CUSIP (if any). | 68752DAA6 |
| At least one of the following other identifiers: |
| - ISIN | US68752DAA63 |
| - Ticker (if ISIN is not available). | ORTCLI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BH3T5L8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 90000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 95850.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0271570143 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 340 |
| a. Name of issuer (if any). | Ortho Clinical Diagnostics Inc / Ortho Clinical Diagnostics S A |
| b. LEI (if any) of issuer. (1) | 5493006VJVVGE5PD4517 |
| 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 |
| - Ticker (if ISIN is not available). | ORTCLI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXNK98 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 385000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 404173.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1145136351 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 341 |
| a. Name of issuer (if any). | Outfront Media Capital LLC / Outfront Media Capital Corp |
| b. LEI (if any) of issuer. (1) | 5493005WC7J0FDMW0610 |
| c. Title of the issue or description of the investment. | OUTFRONT MEDIA CAP LLC/C COMPANY GUAR 144A 08/27 5 |
| d. CUSIP (if any). | 69007TAB0 |
| At least one of the following other identifiers: |
| - ISIN | US69007TAB08 |
| - Ticker (if ISIN is not available). | CBSOAM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK6WVJ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 50000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 51000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0144497415 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 342 |
| a. Name of issuer (if any). | Outfront Media Capital LLC / Outfront Media Capital Corp |
| b. LEI (if any) of issuer. (1) | 5493005WC7J0FDMW0610 |
| c. Title of the issue or description of the investment. | OUTFRONT MEDIA CAP LLC/C COMPANY GUAR 144A 03/30 4.625 |
| d. CUSIP (if any). | 69007TAC8 |
| At least one of the following other identifiers: |
| - ISIN | US69007TAC80 |
| - Ticker (if ISIN is not available). | CBSOAM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLPYM6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 674797.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1911892053 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 343 |
| a. Name of issuer (if any). | Owens Brockway Glass Container Inc. |
| b. LEI (if any) of issuer. (1) | V2UQUCDZJ9WY98W8QU33 |
| c. Title of the issue or description of the investment. | OWENS BROCKWAY COMPANY GUAR 144A 08/23 5.875 |
| d. CUSIP (if any). | 69073TAR4 |
| At least one of the following other identifiers: |
| - ISIN | US69073TAR41 |
| - Ticker (if ISIN is not available). | OI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ56Z57 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 325000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 342062.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0969159748 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 344 |
| a. Name of issuer (if any). | Owens Brockway Glass Container Inc. |
| b. LEI (if any) of issuer. (1) | V2UQUCDZJ9WY98W8QU33 |
| c. Title of the issue or description of the investment. | OWENS BROCKWAY COMPANY GUAR 144A 08/25 6.375 |
| d. CUSIP (if any). | 69073TAS2 |
| At least one of the following other identifiers: |
| - ISIN | US69073TAS24 |
| - Ticker (if ISIN is not available). | OI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ56Z79 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 656250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1859341743 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 345 |
| a. Name of issuer (if any). | PG&E Corporation |
| b. LEI (if any) of issuer. (1) | 8YQ2GSDWYZXO2EDN3511 |
| c. Title of the issue or description of the investment. | PG+E CORP SR SECURED 07/28 5 |
| d. CUSIP (if any). | 69331CAH1 |
| At least one of the following other identifiers: |
| - ISIN | US69331CAH16 |
| - Ticker (if ISIN is not available). | PCG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCC3Z6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 104000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0294661396 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 346 |
| a. Name of issuer (if any). | PG&E Corporation |
| b. LEI (if any) of issuer. (1) | 8YQ2GSDWYZXO2EDN3511 |
| c. Title of the issue or description of the investment. | PG+E CORP SR SECURED 07/30 5.25 |
| d. CUSIP (if any). | 69331CAJ7 |
| At least one of the following other identifiers: |
| - ISIN | US69331CAJ71 |
| - Ticker (if ISIN is not available). | PCG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCC408 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 835800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2368057644 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 347 |
| a. Name of issuer (if any). | PFS Financing Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PFS FINANCING CORP. PFSFC 2021 A A 144A |
| d. CUSIP (if any). | 69335PDZ5 |
| At least one of the following other identifiers: |
| - ISIN | US69335PDZ53 |
| - Ticker (if ISIN is not available). | PFSFC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGDJP4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 991244.1000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2808474716 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.71 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 348 |
| a. Name of issuer (if any). | PG&E Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PACIFIC GAS + ELECTRIC COMPANY 2020 TERM LOAN |
| d. CUSIP (if any). | 69338CAH4 |
| At least one of the following other identifiers: |
| - ISIN | US69338CAH43 |
| Balance. (2) |
| a. Balance | 2468750.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2440211.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6913808211 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-06-23 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.220000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 349 |
| a. Name of issuer (if any). | 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 |
| - Ticker (if ISIN is not available). | PRAA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV1ZM2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1530000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1511930.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4283727029 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 350 |
| a. Name of issuer (if any). | Padagis |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PADAGIS LLC TERM LOAN B |
| d. CUSIP (if any). | 69526PAC8 |
| At least one of the following other identifiers: |
| - ISIN | US69526PAC86 |
| Balance. (2) |
| a. Balance | 405000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 405506.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1148913825 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.870000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 351 |
| a. Name of issuer (if any). | PALMER SQUARE CLO LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PALMER SQUARE LOAN FUNDING LTD PSTAT 2019 2A A1 144A |
| d. CUSIP (if any). | 69689PAA5 |
| At least one of the following other identifiers: |
| - ISIN | US69689PAA57 |
| - Ticker (if ISIN is not available). | PSTAT |
| Balance. (2) |
| a. Balance | 115858.5300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 115898.3900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0328372898 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.104250000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 352 |
| a. Name of issuer (if any). | Clarios Global Lp |
| b. LEI (if any) of issuer. (1) | 549300474L1ZLXZY2P98 |
| c. Title of the issue or description of the investment. | PANTHER BF AGGREGATOR 2 SR SECURED 144A 05/26 6.25 |
| d. CUSIP (if any). | 69867DAA6 |
| At least one of the following other identifiers: |
| - ISIN | US69867DAA63 |
| - Ticker (if ISIN is not available). | POWSOL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ0M451 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 112000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 117180.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0332004062 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 353 |
| a. Name of issuer (if any). | Clarios Global Lp |
| b. LEI (if any) of issuer. (1) | 549300474L1ZLXZY2P98 |
| c. Title of the issue or description of the investment. | CLARIOS GLOBAL LP/US FIN COMPANY GUAR 144A 05/27 8.5 |
| d. CUSIP (if any). | 69867DAC2 |
| At least one of the following other identifiers: |
| - ISIN | US69867DAC20 |
| - Ticker (if ISIN is not available). | POWSOL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ0M440 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1680000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1784613.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5056314760 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 354 |
| a. Name of issuer (if any). | PARALLEL LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PARALLEL LTD PARL 2021 1A D 144A |
| d. CUSIP (if any). | 69916HAJ9 |
| At least one of the following other identifiers: |
| - ISIN | US69916HAJ95 |
| - Ticker (if ISIN is not available). | PARL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 993019.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2813503510 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.5737 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 355 |
| a. Name of issuer (if any). | Pattern Energy Operations LP / Pattern Energy Operations Inc |
| b. LEI (if any) of issuer. (1) | 254900P898KPCM50SP51 |
| c. Title of the issue or description of the investment. | PATTERN ENERGY OP LP/PAT COMPANY GUAR 144A 08/28 4.5 |
| d. CUSIP (if any). | 70339PAA7 |
| At least one of the following other identifiers: |
| - ISIN | US70339PAA75 |
| - Ticker (if ISIN is not available). | PEGI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL9Y8Z0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2300000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2380500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6744629362 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 356 |
| a. Name of issuer (if any). | Peak 10 |
| b. LEI (if any) of issuer. (1) | 549300M6D163XS0DO113 |
| c. Title of the issue or description of the investment. | PEAK 10 HLDG CORP TERM LOAN B |
| d. CUSIP (if any). | 70469CAC4 |
| At least one of the following other identifiers: |
| - ISIN | US70469CAC47 |
| - Ticker (if ISIN is not available). | PEAKTE |
| Balance. (2) |
| a. Balance | 226461.5600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 217545.7700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0616368657 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.810000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 357 |
| a. Name of issuer (if any). | Peak 10 |
| b. LEI (if any) of issuer. (1) | 549300M6D163XS0DO113 |
| c. Title of the issue or description of the investment. | FLEXENTIAL INTERMEDIATE CORP 2ND LIEN TERM LOAN |
| d. CUSIP (if any). | 70469CAE0 |
| At least one of the following other identifiers: |
| - ISIN | US70469CAE03 |
| - Ticker (if ISIN is not available). | PEAKTE |
| Balance. (2) |
| a. Balance | 1425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1313379.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3721176066 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.560000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 358 |
| a. Name of issuer (if any). | Phillips 66 |
| b. LEI (if any) of issuer. (1) | 5493005JBO5YSIGK1814 |
| c. Title of the issue or description of the investment. | PHILLIPS 66 COMPANY GUAR 04/22 4.3 |
| d. CUSIP (if any). | 718546AC8 |
| At least one of the following other identifiers: |
| - ISIN | US718546AC87 |
| - Ticker (if ISIN is not available). | PSX |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B94MSW2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 625000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 635110.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1799447224 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.300000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 359 |
| a. Name of issuer (if any). | Plains All American Pipeline L.P./PAA Finance Corp. |
| b. LEI (if any) of issuer. (1) | 5521FA2ITF25TVH63740 |
| c. Title of the issue or description of the investment. | PLAINS ALL AMER PIPELINE SR UNSECURED 10/23 3.85 |
| d. CUSIP (if any). | 72650RBD3 |
| At least one of the following other identifiers: |
| - ISIN | US72650RBD35 |
| - Ticker (if ISIN is not available). | PAA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BCZTL80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 785177.3300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2224629311 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.850000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 360 |
| a. Name of issuer (if any). | Plastipak Holdings, Inc. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PLASTIPAK HOLDINGS INC SR UNSECURED 144A 10/25 6.25 |
| d. CUSIP (if any). | 727610AN7 |
| At least one of the following other identifiers: |
| - ISIN | US727610AN78 |
| - Ticker (if ISIN is not available). | PLASPK |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2FKG3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1170849.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3317347581 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 361 |
| a. Name of issuer (if any). | Solera |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | POLARIS NEWCO, LLC USD TERM LOAN B |
| d. CUSIP (if any). | 73108RAB4 |
| At least one of the following other identifiers: |
| - ISIN | US73108RAB42 |
| Balance. (2) |
| a. Balance | 1580000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1583033.6000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4485181643 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-06-02 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.130000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 362 |
| a. Name of issuer (if any). | Tallgrass Energy Partners |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PRAIRIE ECI ACQUIROR LP TERM LOAN |
| d. CUSIP (if any). | 73955HAB0 |
| At least one of the following other identifiers: |
| - ISIN | US73955HAB06 |
| Balance. (2) |
| a. Balance | 900000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 868842.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2461674969 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-11 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.340000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 363 |
| a. Name of issuer (if any). | Wellsky (fka Mediware Information Systems) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PROJECT RUBY ULTIMTE PARNT CRP 2021 TERM LOAN |
| d. CUSIP (if any). | 74339UAS9 |
| At least one of the following other identifiers: |
| - ISIN | US74339UAS96 |
| Balance. (2) |
| a. Balance | 1567125.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1564727.3000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4433314720 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-03 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.440000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 364 |
| a. Name of issuer (if any). | Prudential Financial, Inc. |
| b. LEI (if any) of issuer. (1) | 5PRBRS5FEH7NREC8OR45 |
| c. Title of the issue or description of the investment. | PRUDENTIAL FINANCIAL INC JR SUBORDINA 09/47 VAR |
| d. CUSIP (if any). | 744320AW2 |
| At least one of the following other identifiers: |
| - ISIN | US744320AW24 |
| - Ticker (if ISIN is not available). | PRU |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYWJV76 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 797628.7300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2259907647 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2047-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 365 |
| a. Name of issuer (if any). | QVC, Inc. |
| b. LEI (if any) of issuer. (1) | 549300WBLU5NKPX5X472 |
| c. Title of the issue or description of the investment. | QVC INC SR SECURED 02/27 4.75 |
| d. CUSIP (if any). | 747262AY9 |
| At least one of the following other identifiers: |
| - ISIN | US747262AY90 |
| - Ticker (if ISIN is not available). | QVCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKBLDW4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 157032.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0444916042 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 366 |
| a. Name of issuer (if any). | Qorvo Inc |
| b. LEI (if any) of issuer. (1) | 254900YAUJV2EUEVBR11 |
| c. Title of the issue or description of the investment. | QORVO INC COMPANY GUAR 10/29 4.375 |
| d. CUSIP (if any). | 74736KAH4 |
| At least one of the following other identifiers: |
| - ISIN | US74736KAH41 |
| - Ticker (if ISIN is not available). | QRVO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTQRQ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 187906.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0532391519 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 367 |
| a. Name of issuer (if any). | Rackspace Technology Global Incorporated |
| b. LEI (if any) of issuer. (1) | 549300QTYCKLMFSE8I97 |
| c. Title of the issue or description of the investment. | RACKSPACE TECHNOLOGY GLOBAL |
| d. CUSIP (if any). | 750098AA3 |
| At least one of the following other identifiers: |
| - ISIN | US750098AA35 |
| - Ticker (if ISIN is not available). | RAX |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7N7Q7 |
| Description of other unique identifier. | sedol |
| Balance. (2) |
| a. Balance | 1665000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1602562.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4540512536 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 368 |
| a. Name of issuer (if any). | Range Resources Corp. |
| b. LEI (if any) of issuer. (1) | H3Y3WLYCX0BTO1TRW162 |
| c. Title of the issue or description of the investment. | RANGE RESOURCES CORP COMPANY GUAR 144A 01/29 8.25 |
| d. CUSIP (if any). | 75281ABH1 |
| At least one of the following other identifiers: |
| - ISIN | US75281ABH14 |
| - Ticker (if ISIN is not available). | RRC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF9LN5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 180000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 203220.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0575779701 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 369 |
| a. Name of issuer (if any). | Rent-A-Center, Inc. |
| b. LEI (if any) of issuer. (1) | 529900QUHE15UQNCCJ63 |
| c. Title of the issue or description of the investment. | RENT A CENTER INC COMPANY GUAR 144A 02/29 6.375 |
| d. CUSIP (if any). | 76009NAL4 |
| At least one of the following other identifiers: |
| - ISIN | US76009NAL47 |
| - Ticker (if ISIN is not available). | RCII |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFNQS7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 760000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 794200.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2250193085 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 370 |
| a. Name of issuer (if any). | Rent-A-Center |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RENT A CENTER INC 2021 FIRST LIEN TERM LOAN B |
| d. CUSIP (if any). | 76009WAW0 |
| At least one of the following other identifiers: |
| - ISIN | US76009WAW01 |
| Balance. (2) |
| a. Balance | 492525.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 493450.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1398086018 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-02-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.370000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 371 |
| a. Name of issuer (if any). | Ring Container Technologies |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RING CONTAINER TECHNLG GRP LLC 2021 TERM LOAN B |
| d. CUSIP (if any). | 76680YAG7 |
| At least one of the following other identifiers: |
| - ISIN | US76680YAG70 |
| Balance. (2) |
| a. Balance | 1595000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1597791.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4526994236 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-12 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.870000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 372 |
| a. Name of issuer (if any). | Rocket Mortgage Llc / Rocket Mortgage Co-Issuer Incorporated |
| b. LEI (if any) of issuer. (1) | 549300FGXN1K3HLB1R50 |
| c. Title of the issue or description of the investment. | ROCKETMTGE C0 ISSUER INC COMPANY GUAR 144A 10/26 2.875 |
| d. CUSIP (if any). | 77313LAA1 |
| At least one of the following other identifiers: |
| - ISIN | US77313LAA17 |
| - Ticker (if ISIN is not available). | RKTRM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP815Z9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 965000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 958365.6300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2715320717 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 373 |
| a. Name of issuer (if any). | Rockies Express Pipeline LLC |
| b. LEI (if any) of issuer. (1) | W2ZGZGZKY5GGNY6F3V51 |
| c. Title of the issue or description of the investment. | ROCKIES EXPRESS PIPELINE SR UNSECURED 144A 07/38 7.5 |
| d. CUSIP (if any). | 77340RAD9 |
| At least one of the following other identifiers: |
| - ISIN | US77340RAD98 |
| - Ticker (if ISIN is not available). | ROCKIE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3B9SZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 240000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 274200.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0776886104 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2038-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 374 |
| a. Name of issuer (if any). | Rockies Express Pipeline LLC |
| b. LEI (if any) of issuer. (1) | W2ZGZGZKY5GGNY6F3V51 |
| c. Title of the issue or description of the investment. | ROCKIES EXPRESS PIPELINE SR UNSECURED 144A 04/40 6.875 |
| d. CUSIP (if any). | 77340RAM9 |
| At least one of the following other identifiers: |
| - ISIN | US77340RAM97 |
| - Ticker (if ISIN is not available). | ROCKIE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B4SZ6J5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2110000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2389575.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.6770341402 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2040-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 375 |
| a. Name of issuer (if any). | Royal Caribbean Group |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES SR SECURED 144A 06/23 10.875 |
| d. CUSIP (if any). | 780153AY8 |
| At least one of the following other identifiers: |
| - ISIN | US780153AY85 |
| - Ticker (if ISIN is not available). | RCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFMWL9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 525000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 587343.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1664110860 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LIBERIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 376 |
| a. Name of issuer (if any). | Royal Caribbean Group |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES COMPANY GUAR 144A 06/23 9.125 |
| d. CUSIP (if any). | 780153BC5 |
| At least one of the following other identifiers: |
| - ISIN | US780153BC56 |
| - Ticker (if ISIN is not available). | RCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG6953 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1520092.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4306850299 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LIBERIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 377 |
| a. Name of issuer (if any). | Royal Caribbean Group |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES SR UNSECURED 144A 04/28 5.5 |
| d. CUSIP (if any). | 780153BG6 |
| At least one of the following other identifiers: |
| - ISIN | US780153BG60 |
| - Ticker (if ISIN is not available). | RCL |
| Balance. (2) |
| a. Balance | 680000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 691900.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1960348270 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LIBERIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 378 |
| a. Name of issuer (if any). | Royal Caribbean Group |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | ROYAL CARIBBEAN CRUISES SR UNSECURED 144A 08/26 5.5 |
| d. CUSIP (if any). | 780153BJ0 |
| At least one of the following other identifiers: |
| - ISIN | US780153BJ00 |
| - Ticker (if ISIN is not available). | RCL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLDBLX6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 351468.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0995810313 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LIBERIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 379 |
| a. Name of issuer (if any). | Russell Investments |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RUSSELL INVESTMENTS 2020 TERM LOAN |
| d. CUSIP (if any). | 78249LAD2 |
| At least one of the following other identifiers: |
| - ISIN | US78249LAD29 |
| Balance. (2) |
| a. Balance | 1721258.8200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1727179.9500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4893588996 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.230000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 380 |
| a. Name of issuer (if any). | SFAVE COMMERCIAL MORTGAGE SECURITIES TRUST |
| b. LEI (if any) of issuer. (1) | 549300FIGODFFTOAAU64 |
| c. Title of the issue or description of the investment. | SFAVE COMMERCIAL MORTGAGE SECU SFAVE 2015 5AVE D 144A |
| d. CUSIP (if any). | 78413MAQ1 |
| At least one of the following other identifiers: |
| - ISIN | US78413MAQ15 |
| - Ticker (if ISIN is not available). | SFAVE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BVSS916 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 817050.4000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2314934727 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2043-01-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.388010000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 381 |
| a. Name of issuer (if any). | 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 |
| - Ticker (if ISIN is not available). | NAVI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2922061 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 825000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 782669.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2217523211 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 382 |
| a. Name of issuer (if any). | SS&C Technologies, Inc. |
| b. LEI (if any) of issuer. (1) | 549300KY09TR3J12JU49 |
| c. Title of the issue or description of the investment. | SS+C TECHNOLOGIES INC COMPANY GUAR 144A 09/27 5.5 |
| d. CUSIP (if any). | 78466CAC0 |
| At least one of the following other identifiers: |
| - ISIN | US78466CAC01 |
| - Ticker (if ISIN is not available). | SSNC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJQ1YJ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 526250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1491014998 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 383 |
| a. Name of issuer (if any). | Sabre GLBL Inc. |
| b. LEI (if any) of issuer. (1) | F2TJC7HPPHLHU1AQMP98 |
| c. Title of the issue or description of the investment. | SABRE GLBL INC SR SECURED 144A 04/25 9.25 |
| d. CUSIP (if any). | 78573NAC6 |
| At least one of the following other identifiers: |
| - ISIN | US78573NAC65 |
| - Ticker (if ISIN is not available). | TSG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF9945 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2699000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3119126.3400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8837366561 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 384 |
| a. Name of issuer (if any). | Salem Media Group Inc |
| b. LEI (if any) of issuer. (1) | 549300CTHBTS2MIXZL54 |
| c. Title of the issue or description of the investment. | SALEM MEDIA GROUP INC |
| d. CUSIP (if any). | 794093AG9 |
| At least one of the following other identifiers: |
| - ISIN | US794093AG99 |
| - Ticker (if ISIN is not available). | SALM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ4FBJ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1210000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1214537.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3441128034 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 385 |
| a. Name of issuer (if any). | Sammons Financial Group Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SAMMONS FINANCIAL GROUP SR UNSECURED 144A 05/27 4.45 |
| d. CUSIP (if any). | 79588TAC4 |
| At least one of the following other identifiers: |
| - ISIN | US79588TAC45 |
| - Ticker (if ISIN is not available). | SAMMON |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ043H4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 827992.6600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2345937243 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-12 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.450000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 386 |
| a. Name of issuer (if any). | Scripps Escrow Inc |
| b. LEI (if any) of issuer. (1) | 549300U1OW41QPKYW028 |
| c. Title of the issue or description of the investment. | SCRIPPS ESCROW INC COMPANY GUAR 144A 07/27 5.875 |
| d. CUSIP (if any). | 81104PAA7 |
| At least one of the following other identifiers: |
| - ISIN | US81104PAA75 |
| - Ticker (if ISIN is not available). | SSP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9NGK4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 101500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0287578190 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 387 |
| a. Name of issuer (if any). | Scripps Escrow II Inc |
| b. LEI (if any) of issuer. (1) | 549300U1OW41QPKYW028 |
| c. Title of the issue or description of the investment. | SCRIPPS ESCROW II INC SR SECURED 144A 01/29 3.875 |
| d. CUSIP (if any). | 81105DAA3 |
| At least one of the following other identifiers: |
| - ISIN | US81105DAA37 |
| - Ticker (if ISIN is not available). | SSP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMB5SQ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 170000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 169150.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0479249761 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 388 |
| a. Name of issuer (if any). | Scripps Escrow II Inc |
| b. LEI (if any) of issuer. (1) | 549300U1OW41QPKYW028 |
| c. Title of the issue or description of the investment. | SCRIPPS ESCROW II INC SR UNSECURED 144A 01/31 5.375 |
| d. CUSIP (if any). | 81105DAB1 |
| At least one of the following other identifiers: |
| - ISIN | US81105DAB10 |
| - Ticker (if ISIN is not available). | SSP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9XR35 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 790000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 773212.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2190729566 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 389 |
| a. Name of issuer (if any). | SeaWorld Parks & Entertainment Inc |
| b. LEI (if any) of issuer. (1) | 549300UZV72O3371JJ53 |
| c. Title of the issue or description of the investment. | SEAWORLD PARKS + ENTERTA COMPANY GUAR 144A 08/29 5.25 |
| d. CUSIP (if any). | 81282UAG7 |
| At least one of the following other identifiers: |
| - ISIN | US81282UAG76 |
| - Ticker (if ISIN is not available). | SEAS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNC0P25 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 915000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 932156.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2641062136 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 390 |
| a. Name of issuer (if any). | Select Medical Corporation |
| b. LEI (if any) of issuer. (1) | 549300X05KS0JKR8CB50 |
| c. Title of the issue or description of the investment. | SELECT MEDICAL CORP COMPANY GUAR 144A 08/26 6.25 |
| d. CUSIP (if any). | 816196AT6 |
| At least one of the following other identifiers: |
| - ISIN | US816196AT67 |
| - Ticker (if ISIN is not available). | SEM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPHQM9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1320000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1380675.7800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3911844741 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 391 |
| a. Name of issuer (if any). | Sensata Technologies BV |
| b. LEI (if any) of issuer. (1) | PUCKW5P5O3XMOZVH7T53 |
| c. Title of the issue or description of the investment. | SENSATA TECHNOLOGIES BV COMPANY GUAR 144A 10/25 5 |
| d. CUSIP (if any). | 81725WAJ2 |
| At least one of the following other identifiers: |
| - ISIN | US81725WAJ27 |
| - Ticker (if ISIN is not available). | ST |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BWFV670 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 260000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 284809.2000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0806944967 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 392 |
| a. Name of issuer (if any). | Sensata Technologies BV |
| b. LEI (if any) of issuer. (1) | PUCKW5P5O3XMOZVH7T53 |
| c. Title of the issue or description of the investment. | SENSATA TECHNOLOGIES BV COMPANY GUAR 144A 04/29 4 |
| d. CUSIP (if any). | 81725WAK9 |
| At least one of the following other identifiers: |
| - ISIN | US81725WAK99 |
| - Ticker (if ISIN is not available). | ST |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKFMN2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 365000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 370715.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1050342930 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 393 |
| a. Name of issuer (if any). | Sequoia Mtg Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SEQUOIA MORTGAGE TRUST SEMT 2003 1 1A |
| d. CUSIP (if any). | 81743PAA4 |
| At least one of the following other identifiers: |
| - ISIN | US81743PAA49 |
| - Ticker (if ISIN is not available). | SEMT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B07C4D9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4809.9500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4733.1800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0013410437 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.847380400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 394 |
| a. Name of issuer (if any). | Service Corporation International |
| b. LEI (if any) of issuer. (1) | 549300RKVM2ME20JHZ15 |
| c. Title of the issue or description of the investment. | SERVICE CORP INTL SR UNSECURED 04/27 7.5 |
| d. CUSIP (if any). | 817565BT0 |
| At least one of the following other identifiers: |
| - ISIN | US817565BT00 |
| - Ticker (if ISIN is not available). | SCI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B23Y110 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4131000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.1704290651 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 395 |
| a. Name of issuer (if any). | Service Properties Trust |
| b. LEI (if any) of issuer. (1) | 529900IS770AG1K9QG27 |
| c. Title of the issue or description of the investment. | SERVICE PROPERTIES TRUST COMPANY GUAR 09/25 7.5 |
| d. CUSIP (if any). | 81761LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US81761LAA08 |
| - Ticker (if ISIN is not available). | SVC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBM6P5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1106694.5200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3135578389 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 396 |
| a. Name of issuer (if any). | Skymiles Ip Limited & Delta Air Lines Incorporated |
| b. LEI (if any) of issuer. (1) | Q2CCMS6R0AS67HJMBN42 |
| c. Title of the issue or description of the investment. | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75 |
| d. CUSIP (if any). | 830867AB3 |
| At least one of the following other identifiers: |
| - ISIN | US830867AB33 |
| - Ticker (if ISIN is not available). | DAL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMT8BV6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 545000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 605184.9200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1714659937 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 397 |
| a. Name of issuer (if any). | SOUND POINT CLO VIII-R LTD |
| b. LEI (if any) of issuer. (1) | 549300RPMX5HA435Q562 |
| c. Title of the issue or description of the investment. | SOUND POINT CLO LTD SNDPT 2015 1RA BR 144A |
| d. CUSIP (if any). | 83607HAN5 |
| At least one of the following other identifiers: |
| - ISIN | US83607HAN52 |
| - Ticker (if ISIN is not available). | SNDPT |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 995871.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2821584032 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.676130000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 398 |
| a. Name of issuer (if any). | Southwestern Energy Company |
| b. LEI (if any) of issuer. (1) | EFWMP121W54QV9MGOP87 |
| c. Title of the issue or description of the investment. | SOUTHWESTERN ENERGY CO COMPANY GUAR 10/27 7.75 |
| d. CUSIP (if any). | 845467AN9 |
| At least one of the following other identifiers: |
| - ISIN | US845467AN98 |
| - Ticker (if ISIN is not available). | SWN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0WZ83 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 975000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1046906.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2966181320 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 399 |
| a. Name of issuer (if any). | Southwestern Energy Company |
| b. LEI (if any) of issuer. (1) | EFWMP121W54QV9MGOP87 |
| c. Title of the issue or description of the investment. | SOUTHWESTERN ENERGY CO COMPANY GUAR 09/28 8.375 |
| d. CUSIP (if any). | 845467AP4 |
| At least one of the following other identifiers: |
| - ISIN | US845467AP47 |
| - Ticker (if ISIN is not available). | SWN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN73B32 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 650000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 724750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2053421605 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 400 |
| a. Name of issuer (if any). | Surgery Center Holdings, Inc. |
| b. LEI (if any) of issuer. (1) | 54930054EVI5HWPPW113 |
| c. Title of the issue or description of the investment. | SURGERY CENTER HOLDINGS COMPANY GUAR 144A 07/25 6.75 |
| d. CUSIP (if any). | 84611WAB0 |
| At least one of the following other identifiers: |
| - ISIN | US84611WAB00 |
| - Ticker (if ISIN is not available). | SURCEN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDGGZX0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 485000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 493487.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1398189575 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 401 |
| a. Name of issuer (if any). | CSC ServiceWorks (Coinmach) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SPIN HOLDCO INC 2021 TERM LOAN |
| d. CUSIP (if any). | 84850XAK8 |
| At least one of the following other identifiers: |
| - ISIN | US84850XAK81 |
| Balance. (2) |
| a. Balance | 2520548.1100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2527126.7400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.7160064362 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-04 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.190000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 402 |
| a. Name of issuer (if any). | Spirit AeroSystems |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SPIRIT AEROSYSTEMS INC 2020 TERM LOAN B |
| d. CUSIP (if any). | 84857HAW0 |
| At least one of the following other identifiers: |
| - ISIN | US84857HAW07 |
| Balance. (2) |
| a. Balance | 2997350.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3004843.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.8513570632 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.470000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 403 |
| a. Name of issuer (if any). | OneMain Financial Corporation |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | ONEMAIN FINANCE CORP COMPANY GUAR 03/26 7.125 |
| d. CUSIP (if any). | 85172FAN9 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAN96 |
| - Ticker (if ISIN is not available). | OMF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDTMS47 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 925000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1049875.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2974592628 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 404 |
| a. Name of issuer (if any). | OneMain Financial Corporation |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | SPRINGLEAF FINANCE CORP COMPANY GUAR 03/24 6.125 |
| d. CUSIP (if any). | 85172FAP4 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAP45 |
| - Ticker (if ISIN is not available). | OMF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJJDP63 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 797812.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2260428319 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 405 |
| a. Name of issuer (if any). | OneMain Financial Corporation |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | SPRINGLEAF FINANCE CORP COMPANY GUAR 01/28 6.625 |
| d. CUSIP (if any). | 85172FAQ2 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAQ28 |
| - Ticker (if ISIN is not available). | OMF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK62TX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 112250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0318035978 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 406 |
| a. Name of issuer (if any). | OneMain Financial Corporation |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | ONEMAIN FINANCE CORP COMPANY GUAR 11/29 5.375 |
| d. CUSIP (if any). | 85172FAR0 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAR01 |
| - Ticker (if ISIN is not available). | OMF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKTMHD8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1100000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1174250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3326982159 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 407 |
| a. Name of issuer (if any). | Spirit AeroSystems Inc |
| b. LEI (if any) of issuer. (1) | ZD2NBKV6GCC3UMGBM518 |
| c. Title of the issue or description of the investment. | SPIRIT AEROSYSTEMS INC SECURED 144A 04/25 7.5 |
| d. CUSIP (if any). | 85205TAL4 |
| At least one of the following other identifiers: |
| - ISIN | US85205TAL44 |
| - Ticker (if ISIN is not available). | SPR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCQ6D4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 370000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 390627.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1106758121 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 408 |
| a. Name of issuer (if any). | Spirit AeroSystems Inc |
| b. LEI (if any) of issuer. (1) | ZD2NBKV6GCC3UMGBM518 |
| c. Title of the issue or description of the investment. | SPIRIT AEROSYSTEMS INC SR SECURED 144A 01/25 5.5 |
| d. CUSIP (if any). | 85205TAM2 |
| At least one of the following other identifiers: |
| - ISIN | US85205TAM27 |
| - Ticker (if ISIN is not available). | SPR |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLH4FC8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 317581.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0899797447 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 409 |
| a. Name of issuer (if any). | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 5.152 |
| d. CUSIP (if any). | 85208NAE0 |
| At least one of the following other identifiers: |
| - ISIN | US85208NAE04 |
| - Ticker (if ISIN is not available). | SPRNTS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYVRZR9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 846562.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2398550848 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-09-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.152000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 410 |
| a. Name of issuer (if any). | Starwood Property Trust, Inc. |
| b. LEI (if any) of issuer. (1) | BUGSFQZERKRBFWIG5267 |
| c. Title of the issue or description of the investment. | STARWOOD PROPERTY TRUST INC REIT USD.01 |
| d. CUSIP (if any). | 85571B105 |
| At least one of the following other identifiers: |
| - ISIN | US85571B1052 |
| - Ticker (if ISIN is not available). | STWD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3PQ520 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 18508.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 471398.7600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1335605931 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 411 |
| a. Name of issuer (if any). | Starwood Property Trust, Inc. |
| b. LEI (if any) of issuer. (1) | BUGSFQZERKRBFWIG5267 |
| c. Title of the issue or description of the investment. | STARWOOD PROPERTY TRUST SR UNSECURED 12/21 5 |
| d. CUSIP (if any). | 85571BAG0 |
| At least one of the following other identifiers: |
| - ISIN | US85571BAG05 |
| - Ticker (if ISIN is not available). | STWD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ609M3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 180000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 180225.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0510628367 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2021-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 412 |
| a. Name of issuer (if any). | Starwood Property Trust, Inc. |
| b. LEI (if any) of issuer. (1) | BUGSFQZERKRBFWIG5267 |
| c. Title of the issue or description of the investment. | STARWOOD PROPERTY TRUST SR UNSECURED 03/25 4.75 |
| d. CUSIP (if any). | 85571BAL9 |
| At least one of the following other identifiers: |
| - ISIN | US85571BAL99 |
| - Ticker (if ISIN is not available). | STWD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYW54F3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 755000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 793429.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2248010041 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 413 |
| a. Name of issuer (if any). | Starwood Property Trust, Inc. |
| b. LEI (if any) of issuer. (1) | BUGSFQZERKRBFWIG5267 |
| c. Title of the issue or description of the investment. | STARWOOD PROPERTY TRUST SR UNSECURED 144A 11/23 5.5 |
| d. CUSIP (if any). | 85571BAS4 |
| At least one of the following other identifiers: |
| - ISIN | US85571BAS43 |
| - Ticker (if ISIN is not available). | STWD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9GMW8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 690000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 724500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2052713284 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 414 |
| a. Name of issuer (if any). | Stevens Holding Co Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | STEVENS HOLDING CO INC COMPANY GUAR 144A 10/26 6.125 |
| d. CUSIP (if any). | 86024TAA5 |
| At least one of the following other identifiers: |
| - ISIN | US86024TAA51 |
| - Ticker (if ISIN is not available). | AIMC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGNKT56 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1535437.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4350328438 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 415 |
| a. Name of issuer (if any). | Stonepeak Lonestar Holdings |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | STONEPEAK LONESTAR HLDNGS LLC TERM LOAN B |
| d. CUSIP (if any). | 86184NAC0 |
| At least one of the following other identifiers: |
| - ISIN | US86184NAC02 |
| Balance. (2) |
| a. Balance | 978870.8400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 980965.6200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2779352877 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-10-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.480000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 416 |
| a. Name of issuer (if any). | Structured Asset Securities Corp. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 2 2A |
| d. CUSIP (if any). | 86359BLB5 |
| At least one of the following other identifiers: |
| - ISIN | US86359BLB52 |
| - Ticker (if ISIN is not available). | STARTS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B03RKX0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 22903.9100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 24091.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0068257689 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.654849700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 417 |
| a. Name of issuer (if any). | Student Ln Consol |
| b. LEI (if any) of issuer. (1) | 5493008KMDJ3GC7JUA63 |
| c. Title of the issue or description of the investment. | STUDENT LOAN CONSOLIDATION CEN SLCC 2011 1 A 144A |
| d. CUSIP (if any). | 86386MAY0 |
| At least one of the following other identifiers: |
| - ISIN | US86386MAY03 |
| - Ticker (if ISIN is not available). | SLCC |
| Balance. (2) |
| a. Balance | 45526.8200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 45710.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0129510257 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.306 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 418 |
| a. Name of issuer (if any). | Surgery Partners |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SURGERY CENTER HOLDINGS, INC. 2021 TERM LOAN |
| d. CUSIP (if any). | 86880NAX1 |
| At least one of the following other identifiers: |
| - ISIN | US86880NAX12 |
| Balance. (2) |
| a. Balance | 1350652.7300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1353097.4100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3833707423 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.930000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 419 |
| a. Name of issuer (if any). | Synchrony Financial |
| b. LEI (if any) of issuer. (1) | 549300RS7EWPM9MA6C78 |
| c. Title of the issue or description of the investment. | SYNCHRONY FINANCIAL SR UNSECURED 03/29 5.15 |
| d. CUSIP (if any). | 87165BAP8 |
| At least one of the following other identifiers: |
| - ISIN | US87165BAP85 |
| - Ticker (if ISIN is not available). | SYF |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJQ1YC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 873072.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2473662532 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-19 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.150000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 420 |
| a. Name of issuer (if any). | Tallgrass Energy Partners, LP and Tallgrass Energy Finance Corp. |
| b. LEI (if any) of issuer. (1) | 549300IQ3DN0F3VERF65 |
| c. Title of the issue or description of the investment. | TALLGRASS NRG PRTNR/FIN COMPANY GUAR 144A 12/30 6 |
| d. CUSIP (if any). | 87470LAJ0 |
| At least one of the following other identifiers: |
| - ISIN | US87470LAJ08 |
| - Ticker (if ISIN is not available). | TEP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTS6Q6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1185000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1185260.7000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3358178584 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 421 |
| a. Name of issuer (if any). | Tallgrass Energy Partners, LP and Tallgrass Energy Finance Corp. |
| b. LEI (if any) of issuer. (1) | 549300IQ3DN0F3VERF65 |
| c. Title of the issue or description of the investment. | TALLGRASS NRG PRTNR/FIN COMPANY GUAR 144A 09/31 6 |
| d. CUSIP (if any). | 87470LAK7 |
| At least one of the following other identifiers: |
| - ISIN | US87470LAK70 |
| - Ticker (if ISIN is not available). | TEP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLDBLG9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 370000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 363987.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1031279471 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 422 |
| a. Name of issuer (if any). | Telesat Canada /Telesat LLC |
| b. LEI (if any) of issuer. (1) | 5493004V5GLBY6SO5Y34 |
| c. Title of the issue or description of the investment. | TELESAT CANADA/TELESAT L SR SECURED 144A 12/26 5.625 |
| d. CUSIP (if any). | 87952VAR7 |
| At least one of the following other identifiers: |
| - ISIN | US87952VAR78 |
| - Ticker (if ISIN is not available). | TELSAT |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC1QC8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 360000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 336042.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0952101970 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-06 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 423 |
| a. Name of issuer (if any). | Tenet Healthcare Corporation |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP SECURED 144A 02/27 6.25 |
| d. CUSIP (if any). | 88033GCX6 |
| At least one of the following other identifiers: |
| - ISIN | US88033GCX60 |
| - Ticker (if ISIN is not available). | THC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHX13B0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 441468.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1250805752 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 424 |
| a. Name of issuer (if any). | Tenet Healthcare Corporation |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP SR SECURED 144A 01/26 4.875 |
| d. CUSIP (if any). | 88033GCY4 |
| At least one of the following other identifiers: |
| - ISIN | US88033GCY44 |
| - Ticker (if ISIN is not available). | THC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKFV9N3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1025000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1050625.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2976717590 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-01-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 425 |
| a. Name of issuer (if any). | Tenet Healthcare Corporation |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP SR SECURED 144A 11/27 5.125 |
| d. CUSIP (if any). | 88033GDA5 |
| At least one of the following other identifiers: |
| - ISIN | US88033GDA58 |
| - Ticker (if ISIN is not available). | THC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKFV9T9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 235125.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0666175584 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 426 |
| a. Name of issuer (if any). | Tenet Healthcare Corporation |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP SR SECURED 144A 04/25 7.5 |
| d. CUSIP (if any). | 88033GDE7 |
| At least one of the following other identifiers: |
| - ISIN | US88033GDE70 |
| - Ticker (if ISIN is not available). | THC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9Y5F6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 150000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 159187.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0451023183 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 427 |
| a. Name of issuer (if any). | Tenet Healthcare Corporation |
| b. LEI (if any) of issuer. (1) | 0W9AIBT6U6ADJ2I8HK17 |
| c. Title of the issue or description of the investment. | TENET HEALTHCARE CORP SR SECURED 144A 06/28 4.625 |
| d. CUSIP (if any). | 88033GDG2 |
| At least one of the following other identifiers: |
| - ISIN | US88033GDG29 |
| - Ticker (if ISIN is not available). | THC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM9SDN2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129531.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0366998644 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 428 |
| a. Name of issuer (if any). | Tenneco Inc. |
| b. LEI (if any) of issuer. (1) | 549300U0EXXFAQFAD785 |
| c. Title of the issue or description of the investment. | TENNECO INC SR SECURED 144A 04/29 5.125 |
| d. CUSIP (if any). | 880349AT2 |
| At least one of the following other identifiers: |
| - ISIN | US880349AT28 |
| - Ticker (if ISIN is not available). | TEN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDB917 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 630000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 624487.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1769349603 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 429 |
| a. Name of issuer (if any). | TerraForm Power Operating, LLC |
| b. LEI (if any) of issuer. (1) | 5493000S2OLR3UT5BE13 |
| c. Title of the issue or description of the investment. | TERRAFORM POWER OPERATIN COMPANY GUAR 144A 01/23 4.25 |
| d. CUSIP (if any). | 88104LAC7 |
| At least one of the following other identifiers: |
| - ISIN | US88104LAC72 |
| - Ticker (if ISIN is not available). | TERP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD2BVB9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 510000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1444974154 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 430 |
| a. Name of issuer (if any). | TerraForm Power Operating, LLC |
| b. LEI (if any) of issuer. (1) | 5493000S2OLR3UT5BE13 |
| c. Title of the issue or description of the investment. | TERRAFORM POWER OPERATIN COMPANY GUAR 144A 01/28 5 |
| d. CUSIP (if any). | 88104LAE3 |
| At least one of the following other identifiers: |
| - ISIN | US88104LAE39 |
| - Ticker (if ISIN is not available). | TERP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD2BVC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 718875.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2036776069 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 431 |
| a. Name of issuer (if any). | TerraForm Power Operating, LLC |
| b. LEI (if any) of issuer. (1) | 5493000S2OLR3UT5BE13 |
| c. Title of the issue or description of the investment. | TERRAFORM POWER OPERATIN COMPANY GUAR 144A 01/30 4.75 |
| d. CUSIP (if any). | 88104LAG8 |
| At least one of the following other identifiers: |
| - ISIN | US88104LAG86 |
| - Ticker (if ISIN is not available). | TERP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPDH79 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 828784.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2348179333 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 432 |
| a. Name of issuer (if any). | Terwin Mtg Tst |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TERWIN MORTGAGE TRUST TMTS 2003 6HE A3 |
| d. CUSIP (if any). | 881561CG7 |
| At least one of the following other identifiers: |
| - ISIN | US881561CG79 |
| - Ticker (if ISIN is not available). | TMTS |
| Balance. (2) |
| a. Balance | 110860.8300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 110702.3200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0313650963 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.225924100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 433 |
| a. Name of issuer (if any). | Teva Pharmaceutical Finance Netherlands III B.V. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TEVA PHARMACEUTICAL FIN NETH |
| d. CUSIP (if any). | 88167AAK7 |
| At least one of the following other identifiers: |
| - ISIN | US88167AAK79 |
| - Ticker (if ISIN is not available). | TEVA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF5MKP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 547500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1551222254 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 434 |
| a. Name of issuer (if any). | Teva Pharmaceutical Finance Netherlands III B.V. |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TEVA PHARMACEUTICALS NE COMPANY GUAR 04/24 6 |
| d. CUSIP (if any). | 88167AAL5 |
| At least one of the following other identifiers: |
| - ISIN | US88167AAL52 |
| - Ticker (if ISIN is not available). | TEVA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFNC450 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3110000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3261612.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.9241070126 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 435 |
| a. Name of issuer (if any). | Townsquare Media, Inc. |
| b. LEI (if any) of issuer. (1) | 549300XBA8C68H0DR538 |
| c. Title of the issue or description of the investment. | TOWNSQUARE MEDIA INC SR SECURED 144A 02/26 6.875 |
| d. CUSIP (if any). | 892231AB7 |
| At least one of the following other identifiers: |
| - ISIN | US892231AB73 |
| - Ticker (if ISIN is not available). | TSQ |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVB9C0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1765000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1844425.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.5225777363 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 436 |
| a. Name of issuer (if any). | TransDigm, Inc. |
| b. LEI (if any) of issuer. (1) | 88Q84GB3X55CF5OC7582 |
| c. Title of the issue or description of the investment. | TRANSDIGM INC SR SECURED 144A 03/26 6.25 |
| d. CUSIP (if any). | 893647BE6 |
| At least one of the following other identifiers: |
| - ISIN | US893647BE67 |
| - Ticker (if ISIN is not available). | TDG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJJQH22 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 575000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 600156.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1700412294 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 437 |
| a. Name of issuer (if any). | TransDigm, Inc. |
| b. LEI (if any) of issuer. (1) | 88Q84GB3X55CF5OC7582 |
| c. Title of the issue or description of the investment. | TRANSDIGM INC COMPANY GUAR 03/27 7.5 |
| d. CUSIP (if any). | 893647BH9 |
| At least one of the following other identifiers: |
| - ISIN | US893647BH98 |
| - Ticker (if ISIN is not available). | TDG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJV3SS4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 550000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 576812.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1634272852 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 438 |
| a. Name of issuer (if any). | TransDigm, Inc. |
| b. LEI (if any) of issuer. (1) | 88Q84GB3X55CF5OC7582 |
| c. Title of the issue or description of the investment. | TRANSDIGM INC COMPANY GUAR 05/29 4.875 |
| d. CUSIP (if any). | 893647BQ9 |
| At least one of the following other identifiers: |
| - ISIN | US893647BQ97 |
| - Ticker (if ISIN is not available). | TDG |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN30610 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1270000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1273722.6200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3608816208 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 439 |
| a. Name of issuer (if any). | Trinidad And Tobago (Republic Of) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TRINIDAD + TOBAGO SR UNSECURED 144A 08/26 4.5 |
| d. CUSIP (if any). | 896292AJ8 |
| At least one of the following other identifiers: |
| - ISIN | US896292AJ80 |
| - Ticker (if ISIN is not available). | TRITOB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDCWWW0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 778132.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2204669316 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
TRINIDAD AND TOBAGO
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-04 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 440 |
| a. Name of issuer (if any). | Truck Hero |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TRUCK HERO INC 2021 TERM LOAN B |
| d. CUSIP (if any). | 89778PAG2 |
| At least one of the following other identifiers: |
| - ISIN | US89778PAG28 |
| Balance. (2) |
| a. Balance | 1591002.5100000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1583413.4300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4486257808 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.970000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 441 |
| a. Name of issuer (if any). | Tyco Electronics Group SA |
| b. LEI (if any) of issuer. (1) | C33G1C5SYE2YM95EE712 |
| c. Title of the issue or description of the investment. | TYCO ELECTRONICS GROUP S COMPANY GUAR 02/22 3.5 |
| d. CUSIP (if any). | 902133AM9 |
| At least one of the following other identifiers: |
| - ISIN | US902133AM92 |
| - Ticker (if ISIN is not available). | TEL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B79SKK3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 225019.7200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0637544470 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-02-03 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 442 |
| a. Name of issuer (if any). | Uber Technologies Inc |
| b. LEI (if any) of issuer. (1) | 549300B2FTG34FILDR98 |
| c. Title of the issue or description of the investment. | UBER TECHNOLOGIES INC COMPANY GUAR 144A 11/26 8 |
| d. CUSIP (if any). | 90353TAC4 |
| At least one of the following other identifiers: |
| - ISIN | US90353TAC45 |
| - Ticker (if ISIN is not available). | UBER |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG87FX2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1703040.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4825193694 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 443 |
| a. Name of issuer (if any). | Uber Technologies Inc |
| b. LEI (if any) of issuer. (1) | 549300B2FTG34FILDR98 |
| c. Title of the issue or description of the investment. | UBER TECHNOLOGIES INC COMPANY GUAR 144A 08/29 4.5 |
| d. CUSIP (if any). | 90353TAK6 |
| At least one of the following other identifiers: |
| - ISIN | US90353TAK60 |
| - Ticker (if ISIN is not available). | UBER |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNSNM61 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 725000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 729658.1300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2067327724 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 444 |
| a. Name of issuer (if any). | United Air Lines, 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 04/29 4.625 |
| d. CUSIP (if any). | 90932LAH0 |
| At least one of the following other identifiers: |
| - ISIN | US90932LAH06 |
| - Ticker (if ISIN is not available). | UAL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG8788 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 850000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 876333.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2482899090 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 445 |
| a. Name of issuer (if any). | United Airlines |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | UNITED AIRLINES, INC. 2021 TERM LOAN B |
| d. CUSIP (if any). | 90932RAJ3 |
| At least one of the following other identifiers: |
| - ISIN | US90932RAJ32 |
| Balance. (2) |
| a. Balance | 402975.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 408370.8400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1157030018 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.930000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 446 |
| a. Name of issuer (if any). | United Shore Financial Service Llc |
| b. LEI (if any) of issuer. (1) | 549300HW662MN1WU8550 |
| c. Title of the issue or description of the investment. | UNITED SHORE FINAN SERVI SR UNSECURED 144A 11/25 5.5 |
| d. CUSIP (if any). | 91153LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US91153LAA52 |
| - Ticker (if ISIN is not available). | UNSHFI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN13354 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1550000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1542250.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4369630176 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 447 |
| a. Name of issuer (if any). | United States Department of Veterans Affairs |
| b. LEI (if any) of issuer. (1) | 549300MGSV36CLTS9L88 |
| c. Title of the issue or description of the investment. | VENDEE MORTGAGE TRUST VENDE 2003 2 IO |
| d. CUSIP (if any). | 911760TN6 |
| At least one of the following other identifiers: |
| - ISIN | US911760TN67 |
| - Ticker (if ISIN is not available). | VENDE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B1XMHV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1708122.4300000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 29967.4700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0084906313 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
U.S. government agency
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.570168500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 448 |
| a. Name of issuer (if any). | United Wholesale Mortgage Llc |
| b. LEI (if any) of issuer. (1) | 549300HW662MN1WU8550 |
| c. Title of the issue or description of the investment. | UNITED WHOLESALE MTGE LL SR UNSECURED 144A 04/29 5.5 |
| d. CUSIP (if any). | 913229AA8 |
| At least one of the following other identifiers: |
| - ISIN | US913229AA80 |
| - Ticker (if ISIN is not available). | UNSHFI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG46T7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1395000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1356637.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3843737499 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 449 |
| a. Name of issuer (if any). | USA Compression Partners LP / USA Compression Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | USA COM PART/USA COM FIN COMPANY GUAR 04/26 6.875 |
| d. CUSIP (if any). | 91740PAC2 |
| At least one of the following other identifiers: |
| - ISIN | US91740PAC23 |
| - Ticker (if ISIN is not available). | USAC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHPG3B3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 970000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1002737.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2841038767 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.875000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 450 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC COMPANY GUAR 144A 04/25 6.125 |
| d. CUSIP (if any). | 91831AAC5 |
| At least one of the following other identifiers: |
| - ISIN | US91831AAC53 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BWD21S1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1581000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1610280.1200000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4562378735 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 451 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH COS INC SR SECURED 144A 11/25 5.5 |
| d. CUSIP (if any). | 91911KAN2 |
| At least one of the following other identifiers: |
| - ISIN | US91911KAN28 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF032J6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 381026.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1079555066 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 452 |
| a. Name of issuer (if any). | Bausch Health Companies Inc |
| b. LEI (if any) of issuer. (1) | KOO0397YRO83WY5MGD97 |
| c. Title of the issue or description of the investment. | BAUSCH HEALTH AMERICAS COMPANY GUAR 144A 01/27 8.5 |
| d. CUSIP (if any). | 91911XAW4 |
| At least one of the following other identifiers: |
| - ISIN | US91911XAW48 |
| - Ticker (if ISIN is not available). | BHCCN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFY2Z12 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 397968.7500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1127557957 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 453 |
| a. Name of issuer (if any). | Veolia Environnement S.A. |
| b. LEI (if any) of issuer. (1) | 969500LENY69X51OOT31 |
| c. Title of the issue or description of the investment. | VEOLIA ENVIRONNEMENT SA SR UNSECURED 06/38 6.75 |
| d. CUSIP (if any). | 92334NAC7 |
| At least one of the following other identifiers: |
| - ISIN | US92334NAC74 |
| - Ticker (if ISIN is not available). | VIEFP |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG495W1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 524401.2400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1485776938 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
FRANCE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2038-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 454 |
| a. Name of issuer (if any). | VERUS SECURITIZATION TRUST |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VERUS SECURITIZATION TRUST VERUS 2021 1 A2 144A |
| d. CUSIP (if any). | 92537QAE1 |
| At least one of the following other identifiers: |
| - ISIN | US92537QAE17 |
| - Ticker (if ISIN is not available). | VERUS |
| Balance. (2) |
| a. Balance | 708035.8400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 705475.6500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1998811923 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2066-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 1.052000100000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 455 |
| a. Name of issuer (if any). | TK Elevator U S Newco Inc |
| b. LEI (if any) of issuer. (1) | 549300C2AFWPAYWS5574 |
| c. Title of the issue or description of the investment. | VERTICAL US NEWCO INC SR SECURED 144A 07/27 5.25 |
| d. CUSIP (if any). | 92537RAA7 |
| At least one of the following other identifiers: |
| - ISIN | US92537RAA77 |
| - Ticker (if ISIN is not available). | THYELE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC7DR0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 687015.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1946507684 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 456 |
| a. Name of issuer (if any). | TK Elevator Holdco GmbH |
| b. LEI (if any) of issuer. (1) | 2549008GCHWX9EEMIS56 |
| c. Title of the issue or description of the investment. | VERTICAL HOLDCO GMBH COMPANY GUAR 144A 07/28 7.625 |
| d. CUSIP (if any). | 92537VAA8 |
| At least one of the following other identifiers: |
| - ISIN | US92537VAA89 |
| - Ticker (if ISIN is not available). | THYELE |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC5TG5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 224000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 237440.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0672734634 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
GERMANY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 457 |
| a. Name of issuer (if any). | Virgin Media Finance PLC |
| b. LEI (if any) of issuer. (1) | 2138001LVYC87DDHT482 |
| c. Title of the issue or description of the investment. | VIRGIN MEDIA FINANCE PLC SR UNSECURED 144A 07/30 5 |
| d. CUSIP (if any). | 92769VAJ8 |
| At least one of the following other identifiers: |
| - ISIN | US92769VAJ89 |
| - Ticker (if ISIN is not available). | VMED |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8SGZ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 198867.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0563447839 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 458 |
| a. Name of issuer (if any). | Vistra Operations Co LLC |
| b. LEI (if any) of issuer. (1) | 549300ZH5GKBTJZ7NM23 |
| c. Title of the issue or description of the investment. | VISTRA CORP COMPANY GUAR 144A 02/27 5.625 |
| d. CUSIP (if any). | 92840VAB8 |
| At least one of the following other identifiers: |
| - ISIN | US92840VAB80 |
| - Ticker (if ISIN is not available). | VST |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHQTTK2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1545480.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4378781679 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 459 |
| a. Name of issuer (if any). | VMware Inc |
| b. LEI (if any) of issuer. (1) | 549300BUDHS3LRWBE814 |
| c. Title of the issue or description of the investment. | VMWARE INC SR UNSECURED 08/27 3.9 |
| d. CUSIP (if any). | 928563AC9 |
| At least one of the following other identifiers: |
| - ISIN | US928563AC98 |
| - Ticker (if ISIN is not available). | VMW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDT5HN8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 822548.6300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2330512767 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-08-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.900000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 460 |
| a. Name of issuer (if any). | Vizient Inc. |
| b. LEI (if any) of issuer. (1) | 5493007V6T3HZ7777P70 |
| c. Title of the issue or description of the investment. | VIZIENT INC SR UNSECURED 144A 05/27 6.25 |
| d. CUSIP (if any). | 92856JAB6 |
| At least one of the following other identifiers: |
| - ISIN | US92856JAB61 |
| - Ticker (if ISIN is not available). | VIZIEN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK1LR77 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 175000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 183419.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0519678580 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 461 |
| a. Name of issuer (if any). | Vmed O2 UK Financing I Plc |
| b. LEI (if any) of issuer. (1) | 213800MRR46ECNGZ7L69 |
| c. Title of the issue or description of the investment. | VMED O2 UK FINAN SR SECURED 144A 07/31 4.75 |
| d. CUSIP (if any). | 92858RAB6 |
| At least one of the following other identifiers: |
| - ISIN | US92858RAB69 |
| - Ticker (if ISIN is not available). | VMED |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP7LR98 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 502500.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1423724535 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 462 |
| a. Name of issuer (if any). | W. R. Grace Holdings Llc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | WR GRACE HOLDING LLC SR UNSECURED 144A 08/29 5.625 |
| d. CUSIP (if any). | 92943GAA9 |
| At least one of the following other identifiers: |
| - ISIN | US92943GAA94 |
| - Ticker (if ISIN is not available). | GRA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLDBLN6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 780000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 786825.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2229297626 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 463 |
| a. Name of issuer (if any). | INDALEX HOLDING SECURED 02/14 11.5 (45338FAC8) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | INDALEX HOLDING SECURED 02/14 11.5 (45338FAC8) |
| 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 | 935KUVII7 |
| Description of other unique identifier. | TradeID |
| Balance. (2) |
| a. Balance | 2990596.2200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.0300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000000085 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.5000000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 464 |
| a. Name of issuer (if any). | MASTER ALTERNATIVE LOANS TRUST MALT 2005 1 5A1 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MASTER ALTERNATIVE LOANS TRUST MALT 2005 1 5A1 |
| 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 | 935VJVII6 |
| Description of other unique identifier. | InternalID |
| Balance. (2) |
| a. Balance | 446.3600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 441.6400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0001251291 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2036-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.5000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 465 |
| a. Name of issuer (if any). | WASH Multifamily Acquisition Inc |
| b. LEI (if any) of issuer. (1) | 549300AS7PRY5PHG6L12 |
| c. Title of the issue or description of the investment. | WASH MULTIFAM ACQ INC SR SECURED 144A 04/26 5.75 |
| d. CUSIP (if any). | 93710WAA3 |
| At least one of the following other identifiers: |
| - ISIN | US93710WAA36 |
| - Ticker (if ISIN is not available). | WASMUL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZ1012 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1240000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1281850.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3631843372 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 466 |
| a. Name of issuer (if any). | Washington Mut Mtg |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA4 3A |
| d. CUSIP (if any). | 939336U43 |
| At least one of the following other identifiers: |
| - ISIN | US939336U439 |
| - Ticker (if ISIN is not available). | WAMU |
| Balance. (2) |
| a. Balance | 67049.6200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 71532.4600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0202671678 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-other
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2034-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 467 |
| a. Name of issuer (if any). | Solenis |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SOLENIS HOLDINGS LLC 2021 TERM LOAN B |
| d. CUSIP (if any). | 68163YAB1 |
| At least one of the following other identifiers: |
| - ISIN | US68163YAB11 |
| Balance. (2) |
| a. Balance | 800000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 798664.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2262840859 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-09-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.870000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 468 |
| a. Name of issuer (if any). | Wilsonart |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | WILSONART LLC 2021 TERM LOAN E |
| 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 | 942MFXII7 |
| Description of other unique identifier. | InternalID |
| Balance. (2) |
| a. Balance | 791025.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 791523.3500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2242609379 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-19 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.690000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 469 |
| a. Name of issuer (if any). | GreenWaste |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MIP V WASTE HOLDINGS LLC TERM LOAN B |
| 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 | 943ZHJII6 |
| Description of other unique identifier. | InternalID |
| Balance. (2) |
| a. Balance | 350000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 350437.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0992888491 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-27 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 3.390000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 470 |
| a. Name of issuer (if any). | Werner Co |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | WERNER FINCO LP TERM LOAN B |
| d. CUSIP (if any). | 95075EAC3 |
| At least one of the following other identifiers: |
| - ISIN | US95075EAC30 |
| - Ticker (if ISIN is not available). | WNRFCO |
| Balance. (2) |
| a. Balance | 1210542.6400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1210542.6400000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3429809466 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-07-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.240000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 471 |
| a. Name of issuer (if any). | Werner FinCo LP/ Werner FinCo Inc |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | WERNER FINCO LP/INC COMPANY GUAR 144A 07/25 8.75 |
| d. CUSIP (if any). | 95076PAA1 |
| At least one of the following other identifiers: |
| - ISIN | US95076PAA12 |
| - Ticker (if ISIN is not available). | WNRFCO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYW9WZ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1445000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1502800.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4257857175 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 472 |
| a. Name of issuer (if any). | Western Midstream Operating LP |
| b. LEI (if any) of issuer. (1) | L6D8A6MLSY454J2JXJ60 |
| c. Title of the issue or description of the investment. | WESTERN MIDSTREAM OPERAT SR UNSECURED 03/48 5.3 |
| d. CUSIP (if any). | 958254AJ3 |
| At least one of the following other identifiers: |
| - ISIN | US958254AJ35 |
| - Ticker (if ISIN is not available). | WES |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXHLK9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1165000.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3300774294 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2048-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.300000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 473 |
| a. Name of issuer (if any). | Western Midstream Operating LP |
| b. LEI (if any) of issuer. (1) | L6D8A6MLSY454J2JXJ60 |
| c. Title of the issue or description of the investment. | WESTERN MIDSTREAM OPERAT SR UNSECURED 02/50 5.25 |
| d. CUSIP (if any). | 958667AA5 |
| At least one of the following other identifiers: |
| - ISIN | US958667AA50 |
| - Ticker (if ISIN is not available). | WES |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKRMRB8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 75000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 89773.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0254353701 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2050-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 474 |
| a. Name of issuer (if any). | Western Midstream Operating LP |
| b. LEI (if any) of issuer. (1) | L6D8A6MLSY454J2JXJ60 |
| c. Title of the issue or description of the investment. | WESTERN MIDSTREAM OPERAT SR UNSECURED 02/30 4.05 |
| d. CUSIP (if any). | 958667AC1 |
| At least one of the following other identifiers: |
| - ISIN | US958667AC17 |
| - Ticker (if ISIN is not available). | WES |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKRMR85 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 657750.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1863591667 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.300000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 475 |
| a. Name of issuer (if any). | Whiting Petroleum Corporation |
| b. LEI (if any) of issuer. (1) | 52990028CHK9KUB1B293 |
| c. Title of the issue or description of the investment. | WHITING PETROLEUM CORP COMMON STOCK |
| d. CUSIP (if any). | 966387508 |
| At least one of the following other identifiers: |
| - ISIN | US9663875089 |
| - Ticker (if ISIN is not available). | WLL |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPM646 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 5057.0000000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 329362.4100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0933176804 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 476 |
| a. Name of issuer (if any). | William Carter Company |
| b. LEI (if any) of issuer. (1) | TGI2A0HXEYNQPU7TYV27 |
| c. Title of the issue or description of the investment. | WILLIAM CARTER COMPANY GUAR 144A 03/27 5.625 |
| d. CUSIP (if any). | 96926JAC1 |
| At least one of the following other identifiers: |
| - ISIN | US96926JAC18 |
| - Ticker (if ISIN is not available). | CRI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHL3SB3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 518125.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1467994576 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.625000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 477 |
| a. Name of issuer (if any). | William Carter Company |
| b. LEI (if any) of issuer. (1) | TGI2A0HXEYNQPU7TYV27 |
| c. Title of the issue or description of the investment. | WILLIAM CARTER COMPANY GUAR 144A 05/25 5.5 |
| d. CUSIP (if any). | 96926JAE7 |
| At least one of the following other identifiers: |
| - ISIN | US96926JAE73 |
| - Ticker (if ISIN is not available). | CRI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV6XP6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 125000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130781.2500000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0370540247 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 478 |
| a. Name of issuer (if any). | Windstream Escrow LLC / Windstream Escrow Finance Corp |
| b. LEI (if any) of issuer. (1) | N/A |
| 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 |
| - Ticker (if ISIN is not available). | WIN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH17V9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 530000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 560596.9000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.1588329474 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 479 |
| a. Name of issuer (if any). | Mexico (United Mexican States) |
| b. LEI (if any) of issuer. (1) | 254900EGTWEU67VP6075 |
| c. Title of the issue or description of the investment. | MEX BONOS DESARR FIX RT BONDS 05/31 7.75 |
| d. CUSIP (if any). | P9767HEK1 |
| At least one of the following other identifiers: |
| - ISIN | MX0MGO0000P2 |
| - Ticker (if ISIN is not available). | MEX |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B6TC406 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 85000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 4192818.6300000000 |
| f. Exchange rate. | 20.5880000000 |
| g. Percentage value compared to net assets of the Fund. | 1.1879440303 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
MEXICO
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-05-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 480 |
| a. Name of issuer (if any). | Allspring GOVT MM SELECT CLASS 3802 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Allspring GOVT MM SELECT CLASS 3802 |
| d. CUSIP (if any). | 976RXG000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | WFUSUDS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 976RXG000 |
| Description of other unique identifier. | InternalID |
| Balance. (2) |
| a. Balance | 8913889.0100000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8913889.0100000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 2.5255567128 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| b. Issuer type. (7) |
Registered fund
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 481 |
| a. Name of issuer (if any). | Allspring GOVT MM SELECT CLASS 3802 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Allspring GOVT MM SELECT CLASS 3802 |
| d. CUSIP (if any). | 976RXG000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | WFUSUDS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 976RXG000 |
| Description of other unique identifier. | InternalID |
| Balance. (2) |
| a. Balance | 1455850.9600000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1455850.9600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4124837274 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| b. Issuer type. (7) |
Registered fund
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 482 |
| a. Name of issuer (if any). | Allspring GOVT MM SELECT CLASS 3802 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Allspring GOVT MM SELECT CLASS 3802 |
| d. CUSIP (if any). | 976RXG000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | WFUSUDS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 976RXG000 |
| Description of other unique identifier. | InternalID |
| Balance. (2) |
| a. Balance | 1510509.9900000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1510509.9900000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4279701756 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| b. Issuer type. (7) |
Registered fund
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 483 |
| a. Name of issuer (if any). | Glencore Finance (Canada) Limited |
| b. LEI (if any) of issuer. (1) | 5493005TTO0UJ33KCK70 |
| c. Title of the issue or description of the investment. | GLENCORE FINANCE CANADA COMPANY GUAR 144A 10/22 4.25 |
| d. CUSIP (if any). | 98417EAT7 |
| At least one of the following other identifiers: |
| - ISIN | US98417EAT73 |
| - Ticker (if ISIN is not available). | GLENLN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B45QNR8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 774982.5000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2195744476 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 484 |
| a. Name of issuer (if any). | Zayo Group Holdings Inc |
| b. LEI (if any) of issuer. (1) | 529900Z6OTS7RT0V0I47 |
| c. Title of the issue or description of the investment. | ZAYO GROUP HOLDINGS INC SR UNSECURED 144A 03/28 6.125 |
| d. CUSIP (if any). | 98919VAB1 |
| At least one of the following other identifiers: |
| - ISIN | US98919VAB18 |
| - Ticker (if ISIN is not available). | ZAYO |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLBQF75 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1525000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1488453.3800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4217209146 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.125000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 485 |
| a. Name of issuer (if any). | Malaysia (Government Of) |
| b. LEI (if any) of issuer. (1) | 254900GSIL471JOBYY43 |
| c. Title of the issue or description of the investment. | MALAYSIA GOVERNMENT BONDS 06/31 4.232 |
| d. CUSIP (if any). | Y5577BCT5 |
| At least one of the following other identifiers: |
| - ISIN | MYBMX1100044 |
| - Ticker (if ISIN is not available). | MALAYS |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3M8V10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 17000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Malaysia Ringgit
|
| e. Value. (4) | 4267614.6400000000 |
| f. Exchange rate. | 4.1410000000 |
| g. Percentage value compared to net assets of the Fund. | 1.2091358541 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
MALAYSIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.232000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 486 |
| a. Name of issuer (if any). | Colombia (Republic of) |
| b. LEI (if any) of issuer. (1) | 549300MHDRBVRF6B9117 |
| c. Title of the issue or description of the investment. | TITULOS DE TESORERIA BONDS 08/26 7.5 |
| d. CUSIP (if any). | P3107FAR6 |
| At least one of the following other identifiers: |
| - ISIN | COL17CT02625 |
| - Ticker (if ISIN is not available). | COLOM |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B5V9HQ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 22725000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Colombia Peso
|
| e. Value. (4) | 6111439.6000000000 |
| f. Exchange rate. | 3765.7350000000 |
| g. Percentage value compared to net assets of the Fund. | 1.7315435821 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
COLOMBIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-08-26 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 487 |
| a. Name of issuer (if any). | International Bank for Reconstruction and Development |
| b. LEI (if any) of issuer. (1) | ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment. | INTL BK RECON + DEVELOP SR UNSECURED 06/23 7 |
| d. CUSIP (if any). | U4586F8J9 |
| At least one of the following other identifiers: |
| - ISIN | XS0941866252 |
| - Ticker (if ISIN is not available). | IBRD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLDYW32 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 15000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
South Africa Rand
|
| e. Value. (4) | 993306.0100000000 |
| f. Exchange rate. | 15.2750000000 |
| g. Percentage value compared to net assets of the Fund. | 0.2814316690 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-07 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 488 |
| a. Name of issuer (if any). | Landwirtschaftliche Rentenbank |
| b. LEI (if any) of issuer. (1) | 529900Z3J0N6S0F7CT25 |
| c. Title of the issue or description of the investment. | LANDWIRTSCH. RENTENBANK GOVT GUARANT REGS 05/22 8.25 |
| d. CUSIP (if any). | D4S43SXL4 |
| At least one of the following other identifiers: |
| - ISIN | XS1069178173 |
| - Ticker (if ISIN is not available). | RENTEN |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMMV189 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 15000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
South Africa Rand
|
| e. Value. (4) | 994959.0800000000 |
| f. Exchange rate. | 15.2750000000 |
| g. Percentage value compared to net assets of the Fund. | 0.2819000305 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
GERMANY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-05-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 489 |
| a. Name of issuer (if any). | European Investment Bank |
| b. LEI (if any) of issuer. (1) | 5493006YXS1U5GIHE750 |
| c. Title of the issue or description of the investment. | EUROPEAN INVESTMENT BANK SR UNSECURED REGS 07/22 8.375 |
| d. CUSIP (if any). | L3R480HV0 |
| At least one of the following other identifiers: |
| - ISIN | XS1090019370 |
| - Ticker (if ISIN is not available). | EIB |
| Balance. (2) |
| a. Balance | 40000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
South Africa Rand
|
| e. Value. (4) | 2677315.8800000000 |
| f. Exchange rate. | 15.2750000000 |
| g. Percentage value compared to net assets of the Fund. | 0.7585592647 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-07-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.375000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 490 |
| a. Name of issuer (if any). | European Investment Bank |
| b. LEI (if any) of issuer. (1) | 5493006YXS1U5GIHE750 |
| c. Title of the issue or description of the investment. | EUROPEAN INVESTMENT BANK SR UNSECURED REGS 08/25 8.75 |
| d. CUSIP (if any). | B3821SCE5 |
| At least one of the following other identifiers: |
| - ISIN | XS1274823571 |
| - Ticker (if ISIN is not available). | EIB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ3FS24 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 20000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
South Africa Rand
|
| e. Value. (4) | 1372608.0000000000 |
| f. Exchange rate. | 15.2750000000 |
| g. Percentage value compared to net assets of the Fund. | 0.3888986440 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-08-18 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 491 |
| a. Name of issuer (if any). | Romania (Republic Of) |
| b. LEI (if any) of issuer. (1) | 315700IASY927EDWBK92 |
| c. Title of the issue or description of the investment. | ROMANIA GOVERNMENT BOND BONDS 04/24 3.25 |
| d. CUSIP (if any). | X5S007EA1 |
| At least one of the following other identifiers: |
| - ISIN | RO1624DBN027 |
| - Ticker (if ISIN is not available). | ROMANI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDVLNR0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 23500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Romania New Leu
|
| e. Value. (4) | 5384038.5900000000 |
| f. Exchange rate. | 4.2809500000 |
| g. Percentage value compared to net assets of the Fund. | 1.5254503155 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ROMANIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-04-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 492 |
| a. Name of issuer (if any). | International Finance Corporation |
| b. LEI (if any) of issuer. (1) | QKL54NQY28TCDAI75F60 |
| c. Title of the issue or description of the investment. | INTL FINANCE CORP SR UNSECURED 05/22 7.5 |
| d. CUSIP (if any). | U4R843BS0 |
| At least one of the following other identifiers: |
| - ISIN | XS1608102973 |
| - Ticker (if ISIN is not available). | IFC |
| Balance. (2) |
| a. Balance | 5000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Brazil Real
|
| e. Value. (4) | 872107.4500000000 |
| f. Exchange rate. | 5.6438000000 |
| g. Percentage value compared to net assets of the Fund. | 0.2470926912 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-05-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 493 |
| a. Name of issuer (if any). | European Investment Bank |
| b. LEI (if any) of issuer. (1) | 5493006YXS1U5GIHE750 |
| c. Title of the issue or description of the investment. | EUROPEAN INVESTMENT BANK SR UNSECURED REGS 05/27 8 |
| d. CUSIP (if any). | B3821SYV3 |
| At least one of the following other identifiers: |
| - ISIN | XS1605368536 |
| - Ticker (if ISIN is not available). | EIB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFF30B9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 21000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
South Africa Rand
|
| e. Value. (4) | 1390696.7700000000 |
| f. Exchange rate. | 15.2750000000 |
| g. Percentage value compared to net assets of the Fund. | 0.3940237038 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 494 |
| a. Name of issuer (if any). | Ministerio de Hacienda y Credito Publico |
| b. LEI (if any) of issuer. (1) | 549300MHDRBVRF6B9117 |
| c. Title of the issue or description of the investment. | TITULOS DE TESORERIA BONDS 11/25 6.25 |
| d. CUSIP (if any). | P6S32JR69 |
| At least one of the following other identifiers: |
| - ISIN | COL17CT03557 |
| - Ticker (if ISIN is not available). | COLTC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG064V8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 15000000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Colombia Peso
|
| e. Value. (4) | 3895892.8300000000 |
| f. Exchange rate. | 3765.7350000000 |
| g. Percentage value compared to net assets of the Fund. | 1.1038165584 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
COLOMBIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-26 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 495 |
| a. Name of issuer (if any). | Russian Federation |
| b. LEI (if any) of issuer. (1) | 5493004EHVGF71PDBU58 |
| c. Title of the issue or description of the investment. | RUSSIA GOVT BOND OFZ BONDS 05/29 6.9 |
| d. CUSIP (if any). | X5424XBW7 |
| At least one of the following other identifiers: |
| - ISIN | RU000A0ZYUA9 |
| - Ticker (if ISIN is not available). | RUSSIA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFX1TW9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Russia Ruble
|
| e. Value. (4) | 5272005.3600000000 |
| f. Exchange rate. | 70.8975000000 |
| g. Percentage value compared to net assets of the Fund. | 1.4937081348 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
RUSSIAN FEDERATION
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.900000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 496 |
| a. Name of issuer (if any). | Kreditanstalt Fur Wiederaufbau |
| b. LEI (if any) of issuer. (1) | 549300GDPG70E3MBBU98 |
| c. Title of the issue or description of the investment. | KFW GOVT GUARANT 11/22 7.5 |
| d. CUSIP (if any). | D40829E70 |
| At least one of the following other identifiers: |
| - ISIN | XS1716607269 |
| - Ticker (if ISIN is not available). | KFW |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF50SZ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 36000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
South Africa Rand
|
| e. Value. (4) | 2401330.9700000000 |
| f. Exchange rate. | 15.2750000000 |
| g. Percentage value compared to net assets of the Fund. | 0.6803649388 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
GERMANY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-11-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 497 |
| a. Name of issuer (if any). | International Bank for Reconstruction and Development |
| b. LEI (if any) of issuer. (1) | ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment. | INTL BK RECON + DEVELOP SR UNSECURED 06/23 8.25 |
| d. CUSIP (if any). | U4586FWG8 |
| At least one of the following other identifiers: |
| - ISIN | XS1840619610 |
| - Ticker (if ISIN is not available). | IBRD |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJK34B0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Brazil Real
|
| e. Value. (4) | 1511747.4000000000 |
| f. Exchange rate. | 5.6438000000 |
| g. Percentage value compared to net assets of the Fund. | 0.4283207688 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-22 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 498 |
| a. Name of issuer (if any). | Romania (Republic Of) |
| b. LEI (if any) of issuer. (1) | 315700IASY927EDWBK92 |
| c. Title of the issue or description of the investment. | ROMANIA GOVERNMENT BOND BONDS 02/29 5 |
| d. CUSIP (if any). | X5S007EN3 |
| At least one of the following other identifiers: |
| - ISIN | ROVRZSEM43E4 |
| - Ticker (if ISIN is not available). | ROMANI |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFM4TT6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 20000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Romania New Leu
|
| e. Value. (4) | 4698770.1300000000 |
| f. Exchange rate. | 4.2809500000 |
| g. Percentage value compared to net assets of the Fund. | 1.3312943913 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ROMANIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-02-12 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 499 |
| a. Name of issuer (if any). | Russian Federation |
| b. LEI (if any) of issuer. (1) | 5493004EHVGF71PDBU58 |
| c. Title of the issue or description of the investment. | RUSSIA GOVT BOND OFZ BONDS 04/30 7.65 |
| d. CUSIP (if any). | X5424XCH9 |
| At least one of the following other identifiers: |
| - ISIN | RU000A100A82 |
| - Ticker (if ISIN is not available). | RUSSIA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLSQR4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 325000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Russia Ruble
|
| e. Value. (4) | 4475760.7800000000 |
| f. Exchange rate. | 70.8975000000 |
| g. Percentage value compared to net assets of the Fund. | 1.2681095390 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
RUSSIAN FEDERATION
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-04-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.650000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 500 |
| a. Name of issuer (if any). | India (Republic of) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | INDIA GOVERNMENT BOND BONDS 04/26 7.27 |
| d. CUSIP (if any). | Y2835DSK8 |
| At least one of the following other identifiers: |
| - ISIN | IN0020190016 |
| - Ticker (if ISIN is not available). | IGB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKBQDC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 60000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
India Rupee
|
| e. Value. (4) | 846540.3600000000 |
| f. Exchange rate. | 74.8812500000 |
| g. Percentage value compared to net assets of the Fund. | 0.2398488119 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
INDIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-08 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.270000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 501 |
| a. Name of issuer (if any). | Indonesia (Republic of) |
| b. LEI (if any) of issuer. (1) | 529900FWX0GRR7WG5W79 |
| c. Title of the issue or description of the investment. | INDONESIA GOVERNMENT BONDS 09/30 7 |
| d. CUSIP (if any). | Y6S86ZMP1 |
| At least one of the following other identifiers: |
| - ISIN | IDG000013806 |
| - Ticker (if ISIN is not available). | INDON |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK5HHR1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 115000000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Indonesia Rupiah
|
| e. Value. (4) | 8543320.9800000000 |
| f. Exchange rate. | 14167.5000000000 |
| g. Percentage value compared to net assets of the Fund. | 2.4205643156 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
INDONESIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 502 |
| a. Name of issuer (if any). | Indonesia (Republic of) |
| b. LEI (if any) of issuer. (1) | 529900FWX0GRR7WG5W79 |
| c. Title of the issue or description of the investment. | INDONESIA GOVERNMENT BONDS 02/26 7.25 |
| d. CUSIP (if any). | Y6S86ZPD5 |
| At least one of the following other identifiers: |
| - ISIN | IDG000014309 |
| - Ticker (if ISIN is not available). | INDON |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLD2786 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 55000000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Indonesia Rupiah
|
| e. Value. (4) | 4200187.0500000000 |
| f. Exchange rate. | 14167.5000000000 |
| g. Percentage value compared to net assets of the Fund. | 1.1900317120 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
INDONESIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 503 |
| a. Name of issuer (if any). | Asian Development Bank |
| b. LEI (if any) of issuer. (1) | 549300X0MVH42CY8Q105 |
| c. Title of the issue or description of the investment. | ASIAN DEVELOPMENT BANK SR UNSECURED 02/26 6 |
| d. CUSIP (if any). | Y000A9K92 |
| At least one of the following other identifiers: |
| - ISIN | XS2294853697 |
| - Ticker (if ISIN is not available). | ASIA |
| Balance. (2) |
| a. Balance | 9000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Brazil Real
|
| e. Value. (4) | 1316248.8000000000 |
| f. Exchange rate. | 5.6438000000 |
| g. Percentage value compared to net assets of the Fund. | 0.3729304896 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.000000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 504 |
| a. Name of issuer (if any). | China (People's Republic Of) |
| b. LEI (if any) of issuer. (1) | 300300CHN201808MOF68 |
| c. Title of the issue or description of the investment. | CHINA GOVERNMENT BOND UNSECURED 03/26 3.03 |
| d. CUSIP (if any). | Y6S39BB25 |
| At least one of the following other identifiers: |
| - ISIN | CND100045210 |
| - Ticker (if ISIN is not available). | CGB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN771P6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 14400000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
China Yuan Renminbi
|
| e. Value. (4) | 2270520.8400000000 |
| f. Exchange rate. | 6.3993000000 |
| g. Percentage value compared to net assets of the Fund. | 0.6433027316 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
CHINA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-11 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.030000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 505 |
| a. Name of issuer (if any). | China (People's Republic Of) |
| b. LEI (if any) of issuer. (1) | 300300CHN201808MOF68 |
| c. Title of the issue or description of the investment. | CHINA GOVERNMENT BOND BONDS 05/31 3.02 |
| d. CUSIP (if any). | Y6S39BD49 |
| At least one of the following other identifiers: |
| - ISIN | CND100047QT4 |
| - Ticker (if ISIN is not available). | CGB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8GZV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 14700000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
China Yuan Renminbi
|
| e. Value. (4) | 2307069.0600000000 |
| f. Exchange rate. | 6.3993000000 |
| g. Percentage value compared to net assets of the Fund. | 0.6536578754 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
CHINA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-05-27 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.020000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 506 |
| a. Name of issuer (if any). | International Bank for Reconstruction and Development |
| b. LEI (if any) of issuer. (1) | ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment. | INTL BK RECON + DEVELOP SR UNSECURED REGS 01/28 5.75 |
| d. CUSIP (if any). | U4586HGH0 |
| At least one of the following other identifiers: |
| - ISIN | XS2285181074 |
| - Ticker (if ISIN is not available). | IBRD |
| Balance. (2) |
| a. Balance | 15000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Brazil Real
|
| e. Value. (4) | 2007424.0800000000 |
| f. Exchange rate. | 5.6438000000 |
| g. Percentage value compared to net assets of the Fund. | 0.5687599829 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-01-14 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.750000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 507 |
| a. Name of issuer (if any). | International Finance Corporation |
| b. LEI (if any) of issuer. (1) | QKL54NQY28TCDAI75F60 |
| c. Title of the issue or description of the investment. | INTL FINANCE CORP SR UNSECURED 01/23 8.25 |
| d. CUSIP (if any). | U4R843FX5 |
| At least one of the following other identifiers: |
| - ISIN | XS1760804424 |
| - Ticker (if ISIN is not available). | IFC |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG04C30 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 9000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Brazil Real
|
| e. Value. (4) | 1534232.2500000000 |
| f. Exchange rate. | 5.6438000000 |
| g. Percentage value compared to net assets of the Fund. | 0.4346913624 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-01-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.250000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 508 |
| a. Name of issuer (if any). | Russian Federation |
| b. LEI (if any) of issuer. (1) | 5493004EHVGF71PDBU58 |
| c. Title of the issue or description of the investment. | RUSSIA GOVT BOND OFZ BONDS 02/24 6.5 |
| d. CUSIP (if any). | X5424XBU1 |
| At least one of the following other identifiers: |
| - ISIN | RU000A0ZYU88 |
| - Ticker (if ISIN is not available). | RUSSIA |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG0SQF2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 390000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Russia Ruble
|
| e. Value. (4) | 5300941.5000000000 |
| f. Exchange rate. | 70.8975000000 |
| g. Percentage value compared to net assets of the Fund. | 1.5019065612 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
RUSSIAN FEDERATION
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-02-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 509 |
| a. Name of issuer (if any). | India (Republic of) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | INDIA GOVERNMENT BOND SR UNSECURED 01/24 7.32 |
| d. CUSIP (if any). | Y2835DQA2 |
| At least one of the following other identifiers: |
| - ISIN | IN0020180488 |
| - Ticker (if ISIN is not available). | IGB |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLRKZ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 710000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
India Rupee
|
| e. Value. (4) | 9956711.4600000000 |
| f. Exchange rate. | 74.8812500000 |
| g. Percentage value compared to net assets of the Fund. | 2.8210177889 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
INDIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-01-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.320000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 510 |
| a. Name of issuer (if any). | Indonesia (Republic of) |
| b. LEI (if any) of issuer. (1) | 529900FWX0GRR7WG5W79 |
| c. Title of the issue or description of the investment. | INDONESIA GOVERNMENT BONDS 04/26 5.5 |
| d. CUSIP (if any). | Y6S86ZPW3 |
| At least one of the following other identifiers: |
| - ISIN | IDG000015108 |
| - Ticker (if ISIN is not available). | INDON |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPMPL6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 50000000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Indonesia Rupiah
|
| e. Value. (4) | 3586024.3500000000 |
| f. Exchange rate. | 14167.5000000000 |
| g. Percentage value compared to net assets of the Fund. | 1.0160220594 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
INDONESIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 511 |
| a. Name of issuer (if any). | Air Canada |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AIR CANADA 2021 TERM LOAN B |
| d. CUSIP (if any). | C0102MAP0 |
| At least one of the following other identifiers: |
| - ISIN | XAC0102MAP05 |
| Balance. (2) |
| a. Balance | 200000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 201958.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0572204099 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-08-11 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.630000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 512 |
| a. Name of issuer (if any). | NorthRiver Midstream (Grizzly) |
| b. LEI (if any) of issuer. (1) | 549300SOLNLY3BL6GF18 |
| c. Title of the issue or description of the investment. | NORTHRIVER MIDSTREAM FINANCE GRIZZLY ACQUISITIONS LP |
| d. CUSIP (if any). | C4127DAB4 |
| At least one of the following other identifiers: |
| - ISIN | XAC4127DAB47 |
| - Ticker (if ISIN is not available). | NORMID |
| Balance. (2) |
| a. Balance | 917191.6000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 915017.8600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2592504233 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-10-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.620000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 513 |
| a. Name of issuer (if any). | Clarios (Power Solutions) |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CLARIOS GLOBAL LP 2021 USD TERM LOAN B |
| d. CUSIP (if any). | C8000CAG8 |
| At least one of the following other identifiers: |
| - ISIN | XAC8000CAG87 |
| Balance. (2) |
| a. Balance | 190171.7800000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 188903.3300000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0535216529 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.440000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 514 |
| a. Name of issuer (if any). | Thyssenkrupp Elevator |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VERTICAL US NEWCO INC TERM LOAN B |
| d. CUSIP (if any). | D9000BAD4 |
| At least one of the following other identifiers: |
| - ISIN | XAD9000BAD47 |
| Balance. (2) |
| a. Balance | 1306849.4200000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1308482.9800000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.3707302133 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.630000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 515 |
| a. Name of issuer (if any). | Inmarsat |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CONNECT FINCO SARL 2021 TERM LOAN B |
| d. CUSIP (if any). | L2000DAD6 |
| At least one of the following other identifiers: |
| - ISIN | XAL2000DAD65 |
| Balance. (2) |
| a. Balance | 861875.1600000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 861875.1600000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.2441935942 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-11 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.720000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 516 |
| a. Name of issuer (if any). | Mallinckrodt |
| b. LEI (if any) of issuer. (1) | 549300MQQ92LN1A0B514 |
| c. Title of the issue or description of the investment. | MALLINCKRODT INTL FIN S A TERM LOAN B |
| d. CUSIP (if any). | L6232UAF4 |
| At least one of the following other identifiers: |
| - ISIN | XAL6232UAF48 |
| - Ticker (if ISIN is not available). | MNK |
| Balance. (2) |
| a. Balance | 1581896.3500000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1469629.1700000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.4163874838 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-09-24 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.790000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 517 |
| a. Name of issuer (if any). | Mexico (United Mexican States) |
| b. LEI (if any) of issuer. (1) | 254900EGTWEU67VP6075 |
| c. Title of the issue or description of the investment. | MEX BONOS DESARR FIX RT SR UNSECURED 05/29 8.5 |
| d. CUSIP (if any). | P9767G6N6 |
| At least one of the following other identifiers: |
| - ISIN | MX0MGO0000H9 |
| - Ticker (if ISIN is not available). | MEX |
| Balance. (2) |
| a. Balance | 208500000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 10728817.7600000000 |
| f. Exchange rate. | 20.5880000000 |
| g. Percentage value compared to net assets of the Fund. | 3.0397773277 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
MEXICO
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-05-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 518 |
| a. Name of issuer (if any). | GRIFFIN COAL MINING CO SR UNSECURED REGS 12/16 9.5 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | GRIFFIN COAL MINING CO SR UNSECURED REGS 12/16 9.5 |
| d. CUSIP (if any). | Q43671AA6 |
| At least one of the following other identifiers: |
| - ISIN | USQ43671AA64 |
| Balance. (2) |
| a. Balance | 90766.7400000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.0000000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.0000000000 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
AUSTRALIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.5000000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 519 |
| a. Name of issuer (if any). | International Finance Corporation |
| b. LEI (if any) of issuer. (1) | QKL54NQY28TCDAI75F60 |
| c. Title of the issue or description of the investment. | INTL FINANCE CORP SR UNSECURED 05/22 7.5 |
| d. CUSIP (if any). | U4R843BS0 |
| At least one of the following other identifiers: |
| - ISIN | XS1608102973 |
| - Ticker (if ISIN is not available). | IFC |
| Balance. (2) |
| a. Balance | 4000000.0000000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Brazil Real
|
| e. Value. (4) | 697685.9600000000 |
| f. Exchange rate. | 5.6438000000 |
| g. Percentage value compared to net assets of the Fund. | 0.1976741530 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
Unknown
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-05-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.500000000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
| The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
| Registrant: | Allspring Multi-Sector Income Fund |
| By (Signature): | Jeremy DePalma |
| Name: | Jeremy DePalma |
| Title: | Treasurer |
| Date: |